This paper contrasts the performance of heterogeneous and shrinkage estimators versus the more traditional homogeneous panel data estimators. The analysis utilizes a panel data set from 21 French regions over the period 1973–1998 and a dynamic demand specification to study the gasoline demand...

This paper contrasts the performance of heterogeneous and shrinkage estimators versus the more traditional homogeneous panel data estimators. The analysis utilizes a panel data set from 21 French regions over the period 1973-1998 and a dynamic demand specification to study the gasoline demand in...

Chamberlain [Chamberlain, G., 1982. Multivariate regression models for panel data. Journal of Econometrics 18, 5-46] showed that the fixed effects (FE) specification imposes testable restrictions on the coefficients from regressions of all leads and lags of dependent variables on all leads and...