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Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors
Stauskas, Ovidijus - 2021
A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264 …-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was … thought before. Contrary to the usual stationarity assumption, common factors can in fact be much more general and not unit …
Persistent link: https://www.econbiz.de/10013208900
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Panel Data with Errors-in-Variables: A Note on Essential and Redundant Orthogonality Conditions in GMM-estimation
Biørn, Erik; Klette, Tor Jakob - 1997
General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods and estimated by means of instrumental variables. With...
Persistent link: https://www.econbiz.de/10011967962
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Panel Data with Errors-in-Variables: A Note on Essential and Redundant Orthogonality Conditions in GMM-estimation
Biørn, Erik; Klette, Tor Jakob - Statistisk Sentralbyrå, Government of Norway - 1997
General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods and estimated by means of instrumental variables. With...
Persistent link: https://www.econbiz.de/10004980817
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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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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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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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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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Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects
Robinson, Peter M; Velasco, Carlos - Suntory and Toyota International Centres for Economics … - 2013
A dynamic panel data model is considered that contains possibly stochastic individual components and a common fractional stochastic time trend. We propose four different ways of coping with the individual effects so as to estimate the fractional parameter. Like models with autoregressive...
Persistent link: https://www.econbiz.de/10011003915
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Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.; Velasco, Carlos - London School of Economics (LSE) - 2015
A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...
Persistent link: https://www.econbiz.de/10011171755
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Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.; Velasco, Carlos - In: Journal of Econometrics 185 (2015) 2, pp. 435-452
A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...
Persistent link: https://www.econbiz.de/10011190712