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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

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

Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023

This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...

Persistent link: https://www.econbiz.de/10014357208

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

A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels

Chudik, Alexander - 2017

approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … 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