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Homogeneous, heterogeneous or shrinkage estimators? Some empirical evidence from French regional gasoline consumption

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Author Info
Badi H. Baltagi (Texas A&M University)
Georges Bresson (ERMES, Université Paris II)
James M. Griffin (Texas A&M University)
Alain Pirotte (ERMES, Université Paris II)

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Abstract

This paper contrasts the performance of heterogeneous and shrinkage estimators versus the more traditional homogeneous panel data estimators. The analysis utilizes a panel data set from 21 French regions over the period 1973-1998 and a dynamic demand specification to study the gasoline demand in France. Out-of-sample forecast performance as well as the plausibility of the various estimators are contrasted.

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Paper provided by International Conferences on Panel Data in its series 10th International Conference on Panel Data, Berlin, July 5-6, 2002 with number A6-4.

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Date of creation: Mar 2002
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Handle: RePEc:cpd:pd2002:a6-4

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Related research
Keywords: Panel data; French gasoline demand; Error components; Heterogeneous estimators; Shrinkage estimators;

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Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

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References listed on IDEAS
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  1. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Blackwell Publishing, vol. 58(2), pages 277-97, April. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
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  3. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 1-9, January.
  4. Hsiao, C. & Pesaran, M. H. & Tahmiscioglu, A. K., 1998. "Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models," Cambridge Working Papers in Economics 9804, Faculty of Economics, University of Cambridge.
  5. Robertson, D & Symons, J, 1992. "Some Strange Properties of Panel Data Estimators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(2), pages 175-89, April-Jun. [Downloadable!] (restricted)
  6. Pesaran, H. & Smith, R. & Im, K.S., 1995. "Dynamic Linear Models for Heterogeneous Panels," Cambridge Working Papers in Economics 9503, Faculty of Economics, University of Cambridge.
  7. 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. [Downloadable!] (restricted)
  8. Badi H. Baltagi & James M. Griffin & Weiwen Xiong, 2000. "To Pool Or Not To Pool: Homogeneous Versus Hetergeneous Estimations Applied to Cigarette Demand," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 117-126, February. [Downloadable!] (restricted)
  9. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. G. Bresson & K. Logossah, 2003. "Hétérogénéité de l'offre et de la demande touristiques des communes de la Martinique : une estimation non paramétrique sur données de panel," Working Papers ERMES 0310, ERMES, University Paris 2. [Downloadable!]
  2. Lien, Kristin & Tveterås, Ragnar & Tveterås, Sigbjørn, 2009. "The structure of herring product demand in Russia," UiS Working Papers in Economics and Finance 2009/23, University of Stavanger. [Downloadable!]
  3. Shulian Zhang, 2005. "Consumption Behaviour Under Institutional Transitions in China," School of Economics and Finance Discussion Papers and Working Papers Series 189, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  4. Andrea Vaona & Guido Ascari, 2007. "Regional Inflation Persistence: Evidence from Italy," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0807, Biblioteca universitaria di Lugano (University Library of Lugano). [Downloadable!]
  5. Herbert Brücker & Boriss Siliverstovs, 2006. "On the estimation and forecasting of international migration: how relevant is heterogeneity across countries?," Empirical Economics, Springer, vol. 31(3), pages 735-754, September. [Downloadable!] (restricted)
    Other versions:
  6. Konstantin A. Kholodilin & Boriss Siliverstovs & Stefan Kooths, 2007. "A Dynamic Panel Data Approach to the Forecasting of the GDP of German Länder," Discussion Papers of DIW Berlin 664, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    Other versions:
  7. Badi H. Baltagi, 2007. "Forecasting with Panel Data," Center for Policy Research Working Papers 91, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    Other versions:
  8. Pock, Markus, 2007. "Gasoline and Diesel Demand in Europe: New Insights," Economics Series 202, Institute for Advanced Studies. [Downloadable!]
  9. G. Bresson & J.L. Madre & A. Pirotte, 2004. "Is urban sprawl stimulated by economic growth ? A hierarchical Bayes estimation on the largest metropolitan areas in France," Working Papers ERMES 0404, ERMES, University Paris 2. [Downloadable!]
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