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This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and...
Persistent link: https://www.econbiz.de/10005765796
This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficient models and suggest a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coefficients formulation using...
Persistent link: https://www.econbiz.de/10005765900
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...
Persistent link: https://www.econbiz.de/10005094264