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To pool or not to pool : revisited
Pesaran, M. Hashem; Zhou, Qiankun - 2015
coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed … effects in the panel. It is shown that the pooled estimator remains consistent so long as delta < 1, and is asymptotically …
Persistent link: https://www.econbiz.de/10011283819
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Estimation and inference for spatial models with heterogeneous coefficients : an application to U.S. house prices
Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2019
This paper considers the problem of identification, estimation and inference in the case of spatial panel data models …
Persistent link: https://www.econbiz.de/10011983664
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How economic growth impinges on income inequalities?
Alves, José; Coelho, José Carlos; Roxo, Alexandre - 2022
Performing a panel data analysis for OECD countries, during the period between 1990 and 2019, this article investigates …
Persistent link: https://www.econbiz.de/10013473321
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Determinants of the degree of fiscal sustainability
Afonso, António; Alves, José; Coelho, José Carlos - 2023
We assess the link between fiscal sustainability coefficients, namely the responses of the primary government balance and the global government balance to the debt-to-GDP ratio, and the response of government revenues to government expenditures. For 22 OECD developed countries we use annual data...
Persistent link: https://www.econbiz.de/10013494178
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Trimmed mean group estimation of average treatment effects in ultra short T panels under correlated heterogeneity
Pesaran, M. Hashem; Yang, Liying - 2023
if the time dimension of the panel is as small as the number of its regressors. Extensions to panels with time effects …
Persistent link: https://www.econbiz.de/10014393231
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Fiscal sustainability and the role of inflation
Afonso, António; Alves, José; Matvejevs, Oļegs; … - 2023
We examine the relationship between inflation and fiscal sustainability with a two-step approach. In the first step, we estimate to estimate a country-specific time-varying measure of fiscal sustainability using the fiscal reaction function. This function captures the response of the primary...
Persistent link: https://www.econbiz.de/10014444867
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Heterogeneous autoregressions in short T panel data models
Pesaran, M. Hashem; Yang, Liying - 2023
This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous …
Persistent link: https://www.econbiz.de/10014304441
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10009570680
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Quasi maximum likelihood estimation of spatial models with heterogeneous coefficients
Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2015
This paper considers spatial autoregressive panel data models and extends their analysis to the case where the spatial … section dimensions of the panel are large. It derives the asymptotic covariance matrix of the QML estimators allowing for the … sample properties for panels with moderate time dimensions and irrespective of the number of cross section units in the panel …
Persistent link: https://www.econbiz.de/10011288787
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Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects
Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …
Persistent link: https://www.econbiz.de/10010358963