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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 fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...
Persistent link: https://www.econbiz.de/10010398630
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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 - CESifo - 2014
This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...
Persistent link: https://www.econbiz.de/10010779414
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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 fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...
Persistent link: https://www.econbiz.de/10010358963
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Panel Unit Root Tests in the Presence of aMultifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007
This paper extends the cross sectionally augmented panel unit root test proposed byPesaran (2007) to the case of a multifactor error structure. The basic idea is to exploitinformation regarding the unobserved factors that are shared by other time series in additionto the variable under...
Persistent link: https://www.econbiz.de/10005860582
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Reflections on "Testing for Unit Roots in Heterogeneous Panels"
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol - 2023
This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran...
Persistent link: https://www.econbiz.de/10014290138
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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 autoregressive coefficient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coefficients, with a focus on the first two...
Persistent link: https://www.econbiz.de/10014377483
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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
Under correlated heterogeneity, the commonly used two-way fixed effects estimator is biased and can lead to misleading inference. This paper proposes a new trimmed mean group (TMG) estimator which is consistent at the irregular rate of n 1/3 even if the time dimension of the panel is as small as...
Persistent link: https://www.econbiz.de/10014469563
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Debt, Inflation and Growth - Robust Estimation of Long-Run Effects in Dynamic Panel Data Models
Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2013
This paper investigates the long-run effects of public debt and inflation on economic growth. Our contribution is both … over the 1965-2010 period, we find significant negative long-run effects of public debt and inflation on growth. Our … negative effects on economic growth in the long run. But if the increase is temporary, then there are no long-run growth …
Persistent link: https://www.econbiz.de/10010328717
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A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence
Bailey, Natalia; Holly, Sean; Pesaran, M. Hashem - 2014
An understanding of the spatial dimension of economic and social activity requires methods that can separate out the relationship between spatial units that is due to the effect of common factors from that which is purely spatial even in an abstract sense. The same applies to the empirical...
Persistent link: https://www.econbiz.de/10010333386
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Estimation of Time-invariant Effects in Static Panel Data Models
Pesaran, M. Hashem; Zhou, Qiankun - 2014
This paper proposes the Fixed Effects Filtered (FEF) and Fixed Effects Filtered instrumental variable (FEF-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T is fixed. It is shown that the FEF and FEF-IV estimators...
Persistent link: https://www.econbiz.de/10010420747