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Asymptotic theory for heterogeneous dynamic pseudo-panels

  • McKenzie, D.J.David J.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(03)00213-6
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 120 (2004)
Issue (Month): 2 (June)
Pages: 235-262

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Handle: RePEc:eee:econom:v:120:y:2004:i:2:p:235-262
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Verbeek, M.J.C.M. & Vella, F., 2002. "Estimating dynamic models from repeated cross-sections," Econometric Institute Research Papers EI 2002-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
  3. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
  4. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 277-297.
  5. Deaton, A. & Paxson, C., 1993. "Intertemporal Choice and Inequality," Papers 168, Princeton, Woodrow Wilson School - Development Studies.
  6. Donald Robertson & James Symons, 1991. "Some Strange Properties of Panel Data Estimators," CEP Discussion Papers dp0044, Centre for Economic Performance, LSE.
  7. Verbeek, M. & Nijman, T., 1990. "Can Cohort Data Be Treated As Genuine Panel Data," Papers 9064, Tilburg - Center for Economic Research.
  8. Quah, Danny, 1994. "Exploiting cross-section variation for unit root inference in dynamic data," Economics Letters, Elsevier, vol. 44(1-2), pages 9-19.
  9. Deaton, Angus, 1985. "Panel data from time series of cross-sections," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 109-126.
  10. Dolores Collado, M., 1997. "Estimating dynamic models from time series of independent cross-sections," Journal of Econometrics, Elsevier, vol. 82(1), pages 37-62.
  11. Alessie, Rob & Devereux, Michael P. & Weber, Guglielmo, 1997. "Intertemporal consumption, durables and liquidity constraints: A cohort analysis," European Economic Review, Elsevier, vol. 41(1), pages 37-59, January.
  12. Moffitt, Robert, 1993. "Identification and estimation of dynamic models with a time series of repeated cross-sections," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 99-123, September.
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