Advanced Search
MyIDEAS: Login to save this paper or follow this series

Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels

Contents:

Author Info

Abstract

It is now quite common to have panels in which T, the number of time series observations on the N groups, is quite large. The usual practice is either to estimate N separate regressions and calculate the mean, which we call the Mean Group estimator, or to pool the data and assume the slope coefficients and variances are identical. In this paper, the authors propose an intermediate procedure, referred to as the Pooled Mean Group (PMG) estimator, which constrains the long-run coefficients to be identical, but allows the short- run coefficients and error variances to differ across groups. The stationary case is considered as well as the case where the underlying regressors follow unit root processes, and for both cases the asymptotic distribution of the PMG estimator as T tends to infinity is derived, for a fixed N. The authors also provide an empirical application to aggregate consumption functions across 24 OECD economies.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 9721.

as in new window
Length:
Date of creation: Aug 1997
Date of revision:
Handle: RePEc:cam:camdae:9721

Contact details of provider:
Web page: http://www.econ.cam.ac.uk/index.htm

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Broda, Christian, 2004. "Terms of trade and exchange rate regimes in developing countries," Journal of International Economics, Elsevier, Elsevier, vol. 63(1), pages 31-58, May.
  2. Catao, Luis A.V. & Terrones, Marco E., 2005. "Fiscal deficits and inflation," Journal of Monetary Economics, Elsevier, Elsevier, vol. 52(3), pages 529-554, April.
  3. Bronwyn Hall & Jacques Mairesse, 1998. "Firm-Level Investment in France and the United States: An exploration of what we have learned in twenty years," Economics Series Working Papers 1998-W09, University of Oxford, Department of Economics.
  4. Hall, B. & Mairesse, J. & Branstetter, L. & Crepon, B., 1998. "Does Cash Flow cause Investment and R&D: An Exploration Using Panel Data for French, Japanese, and United States Scientific Firms," Economics Papers 142, Economics Group, Nuffield College, University of Oxford.
  5. Bronwyn H. Hall & Jacques Mairesse, 2000. "Univariate Panel Data Models and GMM Estimators: An Exploration Using Real and Simulated Data," Econometric Society World Congress 2000 Contributed Papers 1114, Econometric Society.
  6. Mark J Manning, 2004. "Exploring the relationship between credit spreads and default probabilities," Bank of England working papers 225, Bank of England.
  7. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo Group Munich.
  8. Chris Stewart, 2003. "An International Comparison Of Long-Run Consumer Behaviour," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 145-168, January -.
  9. Valerio Crispolti & Daniela Marconi, 2005. "Technology transfer and economic growth in developing countries: an econometric analysis," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 564, Bank of Italy, Economic Research and International Relations Area.
  10. Nahla Samargandi & Jan Fidrmuc & Sugata Ghosh, 2014. "Is the Relationship between Financial Development and Economic Growth Monotonic? Evidence from a Sample of Middle Income Countries," CESifo Working Paper Series 4743, CESifo Group Munich.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cam:camdae:9721. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Howard Cobb).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.