Heterogeneity and cross section dependence in panel data models: theory and applications introduction
AbstractThe papers included in this special issue are primarily concerned with the problem of cross section dependence and heterogeneity in the analysis of panel data models and their relevance in applied econometric research. Cross section dependence can arise due to spatial or spill over effects, or could be due to unobserved (or unobservable) common factors. Much of the recent research on non-stationary panel data have focussed on this problem. It was clear that the first generation panel unit root and cointegration tests developed in the 1990's, which assumed cross-sectional independence, are inadequate and could lead to significant size distortions in the presence of neglected cross-section dependence. Second generation panel unit root and cointegration tests that take account of possible cross-section dependence in the data have been developed, see the recent surveys by Choi (2006) and Breitung and Pesaran (2007). The papers by Baltagi, Bresson and Pirotte, Choi and Chue, Kapetanios, and Pesaran in this special issue are further contributions to this literature. The papers by Fachin, and Moon and Perron are empirical studies in this area. Controlling for heterogeneity has also been an important concern for empirical researchers with panel data methods promising better handle on heterogeneity than cross-section data methods. The papers by Hsiao, Shen, Wang and Weeks, Pedroni and Serlenga and Shin are empirical contributions to this area. Copyright © 2007 John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 22 (2007)
Issue (Month): 2 ()
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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- Ekaterini Kyriazidou, 1997. "Estimation of a Panel Data Sample Selection Model," Econometrica, Econometric Society, vol. 65(6), pages 1335-1364, November.
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- Jonathan Kaminski & Alban Thomas, 2011.
"Land Use, Production Growth, and the Institutional Environment of Smallholders: Evidence from Burkinabè Cotton Farmers,"
University of Wisconsin Press, vol. 87(1), pages 160-182.
- Kaminski, Jonathan & Thomas, Alban, 2010. "Land Use, Production Growth, and the Institutional Environment of Smallholders: Evidence from Burkinabe Cotton Farmers," Discussion Papers 93136, Hebrew University of Jerusalem, Department of Agricultural Economics and Management.
- Kaminski, Jonathan & Thomas, Alban, 2011. "Land Use, Production Growth, and the Institutional Environment of Smallholders: Evidence from Burkinabè Cotton Farmers," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
- Sarafidis, Vasilis & Wansbeek, Tom, 2010.
"Cross-sectional Dependence in Panel Data Analysis,"
20367, University Library of Munich, Germany.
- Noman, Abdullah, 2008. "Purchasing Power Parity in South Asia: A Panel Data Approach," MPRA Paper 7824, University Library of Munich, Germany.
- Eaton, Derek J.F., 2009. "Trade and Intellectual Property Rights in the Agricultural Seed Sector," 2009 Conference, August 16-22, 2009, Beijing, China 51782, International Association of Agricultural Economists.
- Rosa Duarte & Vicente Pinilla & Ana Serrano, 2012. "Is there an environmental Kuznets curve for water use? A panel smooth transition regression approach," Documentos de Trabajo dt2012-03, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
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