Panel time-series modeling: New tools for analyzing xt data
Stata already has an extensive range of built-in and user-written commands for analyzing xt (cross-sectional time-series) data. However, most of these commands do not take into account important features of the data relating to their time-series properties or cross-sectional dependence. This talk reviews the recent literature concerned with these features with reference to the types of data in which they arise. Most of the talk will be spent discussing and illustrating various Stata commands for analyzing these types of data, including several new user-written commands. The talk should be of general interest to users of xt data and of particular interest to researchers with panel datasets in which countries or regions are the unit of analysis and there is also a substantial time-series element. Over the past two decades, a literature dedicated to the analysis of macro panel data has concerned itself with some of the idiosyncrasies of this type of data, including variable nonstationarity and cointegration, as well as with the investigation of possible parameter heterogeneity across panel members and its implications for estimation and inference. Most recently, this literature has turned its attention to concerns over cross-sectional dependence, which can arise either in the form of unobservable global shocks that differ in their impact across countries (for example, the recent financial crisis) or as spillover effects (again, unobservable) between a subset of countries or regions.
References listed on IDEAS
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- Peter Pedroni, 2004.
"Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis,"
Department of Economics Working Papers
2004-15, Department of Economics, Williams College.
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"A Simple Panel Unit Root Test in the Presence of Cross Section Dependence,"
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0346, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
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"Panel Unit Root Tests in the Presence of a Multifactor Error Structure,"
Cambridge Working Papers in Economics
0775, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Vanessa Smith, L. & Yamagata, Takashi, 2013. "Panel unit root tests in the presence of a multifactor error structure," Journal of Econometrics, Elsevier, vol. 175(2), pages 94-115.
- Pesaran, M. Hashem & Smith, L. Vanessa & Yamagata, Takashi, 2007. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," IZA Discussion Papers 3254, Institute for the Study of Labor (IZA).
- M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata, 2008. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," CESifo Working Paper Series 2193, CESifo Group Munich.
- M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata, 2008. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," Discussion Papers 08/03, Department of Economics, University of York.
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1999_04, University of Liverpool Management School.
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- Francis Teal & Markus Eberhardt, 2010. "Productivity Analysis in Global Manufacturing Production," Economics Series Working Papers 515, University of Oxford, Department of Economics.
- Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, vol. 90(1), pages 1-44, May.
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- Pesaran, M.H. & Smith, R., 1992. "Estimating Long-Run Relationships From Dynamic Heterogeneous Panels," Cambridge Working Papers in Economics 9215, Faculty of Economics, University of Cambridge.
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