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Long Run and Short Effects in Static Panel Models

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Author Info
Peter Egger () (University of Innsbruck)
Michael Pfaffermayr () (University of Innsbruck)

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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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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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Keywords: Random Effects Models Mundlak Model Panel Econometrics

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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. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
  4. Cornwell, Christopher & Schmidt, Peter & Wyhowski, Donald, 1992. "Simultaneous equations and panel data," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 151-181. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
  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. [Downloadable!] (restricted)
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  1. Johannes Schwarze & Rainer Winkelmann, 2005. "What can happiness research tell us about altruism? Evidence from the German Socio-Economic Panel," Working Papers 0503, University of Zurich, Socioeconomic Institute, revised Sep 2005. [Downloadable!]
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