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Long Run and Short Effects in Static Panel Models

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  • Peter Egger

    ()
    (University of Innsbruck)

  • Michael Pfaffermayr

    ()
    (University of Innsbruck)

Abstract

For short and fat panels the Mundlak model can be viewed as an approximation of a general dynamic autoregressive distributed lag model. We give an exact interpretation of short run and long effects and provide simulations to assess the quality of the approximation of the long run and short run effects by the parameters of the Mundlak Model.

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File URL: http://econpapers.repec.org/cpd/2002/44_Pfaffermayer.pdf
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Bibliographic Info

Paper provided by International Conferences on Panel Data in its series 10th International Conference on Panel Data, Berlin, July 5-6, 2002 with number B6-2.

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Date of creation: Mar 2002
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Handle: RePEc:cpd:pd2002:b6-2

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Related research

Keywords: Random Effects Models; Mundlak Model; Panel Econometrics;

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References

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  1. Cornwell, Christopher & Schmidt, Peter & Wyhowski, Donald, 1992. "Simultaneous equations and panel data," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 151-181.
  2. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  3. Baltagi, Badi H. & Li, Qi, 1991. "A transformation that will circumvent the problem of autocorrelation in an error-component model," Journal of Econometrics, Elsevier, vol. 48(3), pages 385-393, June.
  4. Pirotte, Alain, 1999. "Convergence of the static estimation toward the long run effects of dynamic panel data models," Economics Letters, Elsevier, vol. 63(2), pages 151-158, May.
  5. Amemiya, Takeshi, 1971. "The Estimation of the Variances in a Variance-Components Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(1), pages 1-13, February.
  6. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
  7. Baltagi, Badi H & Griffin, James M, 1984. "Short and Long Run Effects in Pooled Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 631-45, October.
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Cited by:
  1. Schwarze, Johannes & Winkelmann, Rainer, 2005. "What Can Happiness Research Tell Us About Altruism? Evidence from the German Socio-Economic Panel," IZA Discussion Papers 1487, Institute for the Study of Labor (IZA).
  2. Stern, David I., 2009. "Between Estimates of the Environmental Kuznets Curve," Research Reports 94883, Australian National University, Environmental Economics Research Hub.
  3. Völz, Manja & Wedow, Michael, 2009. "Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market," Discussion Paper Series 2: Banking and Financial Studies 2009,06, Deutsche Bundesbank, Research Centre.
  4. INSEL, Aysu & TEKCE, Mahmut, 2010. "Econometric analysis of the bilateral trade flows in the Gulf Cooperation Council countries," MPRA Paper 22130, University Library of Munich, Germany.
  5. Peter Egger & Hannes Winner, 2003. "Does Contract Risk Impede Foreign Direct Investment?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(II), pages 155-172, June.
  6. Ludsteck, Johannes, 2008. "Wage cyclicality and the wage curve under the microscope," IAB Discussion Paper 200811, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].

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