IDEAS home Printed from https://ideas.repec.org/a/eee/ecosta/v37y2026icp1-25.html

Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels

Author

Listed:
  • Chudik, Alexander
  • Pesaran, M. Hashem
  • Smith, Ron P.

Abstract

Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed. The PB estimator is directly comparable to the widely used Pooled Mean Group (PMG) estimator, and is shown to be consistent and asymptotically normal. Monte Carlo simulations show good small sample performance of PB compared to the existing estimators in the literature, namely PMG, panel dynamic OLS (PDOLS), and panel fully-modified OLS (FMOLS). Application of two bias-correction methods and a bootstrapping of critical values to conduct inference robust to cross-sectional dependence of errors are also considered. The utility of the PB estimator is illustrated in an empirical application to the aggregate consumption function.

Suggested Citation

  • Chudik, Alexander & Pesaran, M. Hashem & Smith, Ron P., 2026. "Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels," Econometrics and Statistics, Elsevier, vol. 37(C), pages 1-25.
    • Handle: RePEc:eee:ecosta:v:37:y:2026:i:c:p:1-25
    DOI: 10.1016/j.ecosta.2023.11.001
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S2452306223000783
    Download Restriction: Full text for ScienceDirect subscribers only. Contains open access articles
    File URL: https://libkey.io/10.1016/j.ecosta.2023.11.001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Enrique Martínez García & Braden Strackman, 2024. "What Imports to Import Prices?," Working Papers 2410, Federal Reserve Bank of Dallas.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecosta:v:37:y:2026:i:c:p:1-25. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/econometrics-and-statistics .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.