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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
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Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions
Binder, Michael; Hsiao, Cheng; Mutl, Jan; Pesaran, M. Hashem - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345457
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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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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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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, using the exponent of cross-sectional dependence α, 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/10009534988
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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
case where the unobserved common factors follow unit root processes and could be cointegrated. It is found that the … cointegration properties of the unobserved factors. This finding is further supported for small samples via an extensive Monte Carlo …
Persistent link: https://www.econbiz.de/10003355571
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Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models
Hsiao, Cheng; Pesaran, M. Hashem; Pick, Andreas - 2014
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/10014051110
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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, using the exponent of cross-sectional dependence α, 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/10013108232