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Determining the number of groups in latent panel structures with an application to income and democracy
Lu, Xun; Su, Liangjun - In: Quantitative economics : QE ; journal of the … 8 (2017) 3, pp. 729-760
We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2016), where the number of groups is unknown and has to be determined empirically. We propose a testing procedure to determine the number of groups. Our test is a residual-based Lagrange multiplier-type...
Persistent link: https://www.econbiz.de/10011801632
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On the Estimation and Inference of a Cointegrated Regression in Panel Data
Kao, Chihwa; Chiang, Min-Hsien - 1997
In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic...
Persistent link: https://www.econbiz.de/10014149909
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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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Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix
Bun, Maurice J. G. - 2001
Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models with general covariancestructure. The focus is on...
Persistent link: https://www.econbiz.de/10011313930
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Change point estimation in panel data without boundary issue
Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22
Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...
Persistent link: https://www.econbiz.de/10011636497
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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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Testing for Sphericity in a Two-Way Error Components Panel Data Model
Mao, Guangyu - 2015
This paper is concerned with sphericity test for the two-way error components panel data model. It is found that the John statistic and the bias-corrected LM statistic recently developed by Baltagi et al. (2011, 2012), which are based on the within residuals, are not helpful under the present...
Persistent link: https://www.econbiz.de/10013021009
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A Lagrange-Multiplier Test for Large Heterogeneous Panel Data Models
Bailey, Natalia; Dandan, JIANG; Yao, Jianfeng - 2021
This paper introduces a new test for error cross-sectional independence in large panel data models with exogenous regressors having heterogenous slope coefficients. The proposed statistic, LM_{RMT}, is based on the Lagrange Multiplier (LM) principle and the sample correlation matrix R_{N} of the...
Persistent link: https://www.econbiz.de/10013236473
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Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
Pesaran, M. Hashem - 2021
proposed CCE mean group (CCEMG) estimator is its invariance to the (unknown but fixed) number of unobserved common factors as N … where the unobserved common factors are (possibly) correlated with exogenously given individual-specific regressors, and the …-section dimension (N) tends to infinity the differential effects of unobserved common factors are eliminated. The estimation procedure …
Persistent link: https://www.econbiz.de/10013318876
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Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence
Pesaran, M. Hashem - 2021
This paper presents a new approach to estimation and inference in panel data models with unobserved common factors … common 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/10013320068