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Do dynamics and heterogeneity in panel data models matter?

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  • Andreas Steiner

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File URL: http://hdl.handle.net/10.1007/s00181-010-0423-2
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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 40 (2011)
Issue (Month): 1 (February)
Pages: 165-176

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Handle: RePEc:spr:empeco:v:40:y:2011:i:1:p:165-176

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Related research

Keywords: Panel data models; Poolability; Parameter heterogeneity; International reserves; Central Bank Behaviour; C23; E58; F31;

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References

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  1. R Blundell & Steven Bond, . "Initial conditions and moment restrictions in dynamic panel data model," Economics Papers W14&104., Economics Group, Nuffield College, University of Oxford.
  2. M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
  3. Baltagi, Badi H. & Griffin, James M., 1997. "Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline," Journal of Econometrics, Elsevier, vol. 77(2), pages 303-327, April.
  4. Philip Lane & Dominic Burke, 2001. "The Empirics of Foreign Reserves," CEG Working Papers 20013, Trinity College Dublin, Department of Economics.
  5. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
  6. International Monetary Fund, 1999. "Neglected Heterogeneity and Dynamics in Cross-Country Savings Regressions," IMF Working Papers 99/128, International Monetary Fund.
  7. Donald Robertson & James Symons, 1991. "Some Strange Properties of Panel Data Estimators," CEP Discussion Papers dp0044, Centre for Economic Performance, LSE.
  8. Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2002. "Comparison of forecast performance for homogeneous, heterogeneous and shrinkage estimators: Some empirical evidence from US electricity and natural-gas consumption," Economics Letters, Elsevier, vol. 76(3), pages 375-382, August.
  9. Orazio P. Attanasio & Lucio Picci & Antonello E. Scorcu, 2000. "Saving, Growth, and Investment: A Macroeconomic Analysis Using a Panel of Countries," The Review of Economics and Statistics, MIT Press, vol. 82(2), pages 182-211, May.
  10. Peter Egger & Michael Pfaffermayr, 2005. "Estimating Long and Short Run Effects in Static Panel Models," Econometric Reviews, Taylor & Francis Journals, vol. 23(3), pages 199-214.
  11. M. Bahmani-Oskooee & F. Brown, 2002. "Demand for international reserves: a review article," Applied Economics, Taylor & Francis Journals, vol. 34(10), pages 1209-1226.
  12. Frenkel, Jacob A & Jovanovic, Boyan, 1981. "Optimal International Reserves: A Stochastic Framework," Economic Journal, Royal Economic Society, vol. 91(362), pages 507-14, June.
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