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Estimation and inference in large heterogenous panels with cross section dependence
Pesaran, M. Hashem - 2003
This paper presents a new approach to estimation and inference in panel data models with unobserved common factors … commond factors are eliminated. The estimation procedure has the advantage that it can be computed by OLS applied to an … individual specific regressors. It is shown that the proposed correlated common effects (CCE) estimators for the individual …
Persistent link: https://www.econbiz.de/10011505911
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General diagnostic tests for cross section dependence in panels
Pesaran, M. Hashem - 2004
This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N. The proposed tests are based on average of pair-wise correlation coefficients of...
Persistent link: https://www.econbiz.de/10011449852
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Random coefficient panel data models
Hsiao, Cheng; Pesaran, M. Hashem - 2004
This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficients 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/10011449962
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015
We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...
Persistent link: https://www.econbiz.de/10011305389
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Testing weak cross-sectional dependence in large panels
Pesaran, M. Hashem - 2012
This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent (CD), using the exponent of cross-sectional dependence introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...
Persistent link: https://www.econbiz.de/10009533962
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020
We have argued that from the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a standard factor decomposition of a panel of forecasts, we...
Persistent link: https://www.econbiz.de/10012405456
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Panel data gravity models of international trade
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2014
of goods, services, and factors across national or subnational borders (see Leamer and Levinsohn, 1995). The respective … across pairs or regional units or even across cross-sectional units and time inevitably leads to a panel data structure of …
Persistent link: https://www.econbiz.de/10010237192
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A panel data model with generalized higher-order network effects
Baltagi, Badi H.; Ding, Sophia; Egger, Peter - 2020
Many data situations require the consideration of network effects among the cross-sectional units of observation. In this paper, we present a generalized panel model which accounts for two features: (i) three types of network effects on the right-hand side of the model, namely through weighted...
Persistent link: https://www.econbiz.de/10012306579
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A generalized spatial panel data model with random effects
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2012
This paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our...
Persistent link: https://www.econbiz.de/10009621736
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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
observed factors (fixed or random). Small sample results obtained from Monte Carlo simulations show that the transformed ML …
Persistent link: https://www.econbiz.de/10010358963