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Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
Chudik, Alexander; Pesaran, M. Hashem - 2013
This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data … cross section averages must be included in individual equations of the panel, and the number of cross section averages must … dimension of the panel is sufficiently large. …
Persistent link: https://www.econbiz.de/10009743851
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Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
Harding, Matthew C.; Lamarche, Carlos; Pesaran, M. Hashem - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …
Persistent link: https://www.econbiz.de/10011898624
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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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Analysis of multiple long run relations in panel data models with applications to financial ratio
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2025
This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … approach is illustrated with an application to key financial variables using an unbalanced panel of US firms from merged CRSP …
Persistent link: https://www.econbiz.de/10015409539
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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 …
Persistent link: https://www.econbiz.de/10011505911
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Common Correlated Effects Estimation of Heterogeneous : Dynamic Panel Quantile Regression Models
Harding, Matthew C. - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …
Persistent link: https://www.econbiz.de/10012911881
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Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
Harding, Matthew C. - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …
Persistent link: https://www.econbiz.de/10012908711
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Common Correlated Effects Estimation of Heterogenous Dynamic Panel Data Models with Weakly Exogenous Regressors
Chudik, Alexander - 2013
This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data … cross section averages must be included in individual equations of the panel, and the number of cross section averages must … dimension of the panel is sufficiently large …
Persistent link: https://www.econbiz.de/10013077113
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Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors
Chudik, Alexander; Pesaran, M. Hashem - 2021
This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data … of cross section averages must be included in individual equations of the panel, and the number of cross section averages … dimension of the panel is sufficiently large …
Persistent link: https://www.econbiz.de/10013315784
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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