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Misspecified Heterogeneity in Panel Data Models

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  • Pierre Blanchard
  • Laszlo Matyas

Abstract

In this paper we analyse systematically through Monte Carlo simulations the consequences of misspecified heterogeneity on the most popular linear panel data models. We also illustrate our findings, through the estimation of a well known investment demand model.

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Bibliographic Info

Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 10/95.

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Length: 32 pages
Date of creation: Aug 1995
Date of revision:
Handle: RePEc:msh:ebswps:1995-10

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Keywords: Heterogeneity; Panel Data;

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