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Panel time series: Review of the methodological evolution

Author

Listed:
  • Tamara Burdisso

    (Central Bank of Argentina)

  • Maximo Sangiacomo

    (Central Bank of Argentina)

Abstract

In this article, we discuss the econometric treatment of macropanels, also known as panel time series. This new approach rejects the assumption of slope homogeneity and handles nonstationarity. It also recognizes that cross-section dependence (that is, some correlation structure in the error term between units due to unobservable common factors) squanders efficiency gains by operating with a panel. This approach uses a new set of estimators known in the literature as the common correlated effect, which essentially consists of increasing the model to be fit by adding the averages of the individuals in each time t, of both the dependent variable and the specific regressors of each individual. We present two commands developed for the evaluation and treatment of cross-section dependence.

Suggested Citation

  • Tamara Burdisso & Maximo Sangiacomo, 2016. "Panel time series: Review of the methodological evolution," Stata Journal, StataCorp LLC, vol. 16(2), pages 424-442, June.
    • Handle: RePEc:tsj:stataj:y:16:y:2016:i:2:p:424-442
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    JEL classification:

    • 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
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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