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Estimating Long and Short Run Effects in Static Panel Models

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  • Peter Egger
  • Michael Pfaffermayr

Abstract

This paper assesses the biases of four different estimators with respect to the short run and the long run parameters if a static panel model is used, although the data generating process is a dynamic error components model. We analytically derive the associated biases and provide a discussion of the determinants thereof. Our analytical and numerical results as well as Monte Carlo simulations illustrate that the asymptotic bias of both the within and the between parameter with respect to the short run and long run impact can be substantial, depending on the memory of the data generating process, the length of the time series and the importance of the cross-sectional variation in the explanatory variables.

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File URL: http://www.tandfonline.com/doi/abs/10.1081/ETC-200028201
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 23 (2005)
Issue (Month): 3 ()
Pages: 199-214

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Handle: RePEc:taf:emetrv:v:23:y:2005:i:3:p:199-214

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Related research

Keywords: Short run effects; Long run effects; Small sample bias; Panel econometrics;

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Cited by:
  1. Matthias Stöckl & Hannes Winner, . "Capital Structure and Corporate Taxation. Empirical Evidence from European Panel Data," WIFO Working Papers 422, WIFO.
  2. David I.Stern, 2009. "Between estimates of the environmental Kuznets curve," Environmental Economics Research Hub Research Reports 0934, Environmental Economics Research Hub, Crawford School of Public Policy, The Australian National University.
  3. Matthias Stöckl & Hannes Winner, 2013. "Koerperschaftsbesteuerung und Unternehmensverschuldung: Evidenz aus einem Europaeischen Firmenpanel," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 233(2), pages 188-205, March.
  4. Karel Janda & Eva Michalíková & Jiøí Skuhrovec, 2012. "Credit Support for Export: Econometric Evidence from the Czech Republic," Working Papers IES 2012/12, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2012.
  5. Kersten Kellermann, 2008. "„Kosten der Kleinheit” und die Föderalismusdebatte in der Schweiz," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 9(2), pages 196-225, 05.
  6. Andreas Steiner, 2011. "Do dynamics and heterogeneity in panel data models matter?," Empirical Economics, Springer, vol. 40(1), pages 165-176, February.

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