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Panel Estimation for Worriers

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  • Markus Eberhardt
  • Anindya Banerjee and J. James Reade

Abstract

The recent blossoming of panel econometrics in general and panel time-series methods in particular has enabled many more research questions to be investigated than before. However, this development has not assuaged serious concerns over the lack of diagnostic testing procedures in panel econometrics, in particular vis-a-vis the prominence of such practices in the time-series domain: the recent introduction of residual cross-section independence tests aside, within mainstream panel empirics the combination of 'model', 'spefication' and 'testing' typically refers to the distinction between fixed and random effects, as opposed to a rigorous investigation of residual properties. In this paper we investigate these issues in the context of non-stationary panels with multifactor error structure, employing Monte Carlo simulations to investigate the distributions and rejection frequencies for standard time-series diagnostic procedures, including tests for residual autocorrelation, ARCH, normality, heteroskedasticity and functional form.�

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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 514.

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Date of creation: 01 Nov 2010
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Handle: RePEc:oxf:wpaper:514

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Keywords: Panel time-series; residual diagnostics; common factor model;

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Cited by:
  1. Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Testing for Panel Cointegration Using Common Correlated Effects," Discussion Papers 11-16, Department of Economics, University of Birmingham.
  2. Giray Gozgor, 2013. "Testing Unemployment Persistence in Central and Eastern European Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 694-700.
  3. Evangelia Papapetrou & Dimitrios Bakas, 2012. "Unemployment in Greece: evidence from Greek regions," Working Papers 146, Bank of Greece.
  4. Dierk Herzer & Holger Strulik & Sebastian Vollmer, 2012. "The long-run determinants of fertility: one century of demographic change 1900–1999," Journal of Economic Growth, Springer, vol. 17(4), pages 357-385, December.
  5. Roth, Felix & Gros, Daniel & Nowak-Lehmann D., Felicitas, 2012. "Has the financial crisis eroded citizens' trust in the European Central Bank? Panel data evidence for the Euro area, 1999-2011," Center for European, Governance and Economic Development Research Discussion Papers 124, University of Goettingen, Department of Economics.
  6. Heike Belitz & Florian Mölders, 2013. "International Knowledge Spillovers through High-Tech Imports and R&D of Foreign-Owned Firms," Discussion Papers of DIW Berlin 1276, DIW Berlin, German Institute for Economic Research.
  7. Roth, Felix & Gros, Daniel & Nowak-Lehmann D., Felicitas, 2012. "Has the financial crisis eroded citizens' trust in the European Central Bank? Panel data evidence for the Euro area, 1999-2011," Center for European, Governance and Economic Development Research Discussion Papers 124, University of Goettingen, Department of Economics.

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