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This paper is concerned with ex ante and ex post counterfactual analyses in the case of macroeconometric applications where a single unit is observed before and after a given policy intervention. It distinguishes between cases where the policy change affects the model's parameters and where it...
Persistent link: https://www.econbiz.de/10010287633
This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...
Persistent link: https://www.econbiz.de/10013038262
estimated variance of the cross-sectional average of the variables under consideration. We propose bias corrected estimators …
Persistent link: https://www.econbiz.de/10013111367
This paper is concerned with ex ante and ex post counterfactual analyses in the case of macroeconometric applications where a single unit is observed before and after a given policy intervention. It distinguishes between cases where the policy change affects the model’s parameters and where it...
Persistent link: https://www.econbiz.de/10013315894
focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943386