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Panel Macroeconometric Modeling

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  • Cheng Hsiao

Abstract

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and overtime. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration;(iii) statistical inference for dynamics imultaneous equations models;(iv) policy evaluation; and (v)aggregation and prediction.

Suggested Citation

  • Cheng Hsiao, 2016. "Panel Macroeconometric Modeling," Working Papers 2016-02-21, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:002315
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    More about this item

    Keywords

    Panelmacro-modeling; Unitroot; Cointegration; Aggregation; Prediction;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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