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Panel data analysis with heterogeneous dynamics

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  • Okui, Ryo
  • Yanagi, Takahide

Abstract

This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the parameters of interest based on their empirical distributions. We then investigate the asymptotic properties of our estimators using double asymptotics and propose split-panel jackknife bias correction and inference based on the cross-sectional bootstrap. We illustrate the usefulness of our procedures by studying the deviation dynamics of the law of one price. Monte Carlo simulations confirm that the proposed bias correction is effective and yields valid inference in small samples.

Suggested Citation

  • Okui, Ryo & Yanagi, Takahide, 2019. "Panel data analysis with heterogeneous dynamics," Journal of Econometrics, Elsevier, vol. 212(2), pages 451-475.
  • Handle: RePEc:eee:econom:v:212:y:2019:i:2:p:451-475
    DOI: 10.1016/j.jeconom.2019.04.036
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    Cited by:

    1. repec:eee:econom:v:212:y:2019:i:2:p:451-475 is not listed on IDEAS
    2. Ryo Okui & Takahide Yanagi, 2018. "Kernel Estimation for Panel Data with Heterogeneous Dynamics," Papers 1802.08825, arXiv.org, revised May 2019.
    3. Koen Jochmans & Martin Weidner, 2018. "Inference on a Distribution from Noisy Draws," Papers 1803.04991, arXiv.org, revised Sep 2019.
    4. Okui, Ryo & Yanagi, Takahide, 2019. "Panel data analysis with heterogeneous dynamics," Journal of Econometrics, Elsevier, vol. 212(2), pages 451-475.
    5. repec:bla:jecrev:v:68:y:2017:i:3:p:283-304 is not listed on IDEAS

    More about this item

    Keywords

    Panel data; Heterogeneity; Functional central limit theorem; Jackknife; Bootstrap;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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