Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence
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Note: CFP 1136
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- Phillips, Peter & Sul, Donggyu, 2002. "Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence," Working Papers 194, Department of Economics, The University of Auckland.
References listed on IDEAS
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More about this item
Keywords
Autoregression; Bias; Cross section dependence; Dynamic factors; Dynamic panel estimation; GLS estimation; Homogeneity tests; Median unbiased estimation; Modified Hausman tests; Median unbiased SUR estimation; Orthogonalization procedure; Panel unit root test;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
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