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Misspecified Heterogeneity in Panel Data Models

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Author Info
Pierre Blanchard
Laszlo Matyas

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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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Publisher 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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Related research
Keywords: Heterogeneity; Panel Data;

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This page was last updated on 2009-12-16.

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