Heterogeneous Autoregressions in Short T Panel Data Models
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Other versions of this item:
- M. Hashem Pesaran & Liying Yang, 2023. "Heterogeneous Autoregressions in Short T Panel Data Models," Papers 2306.05299, arXiv.org, revised Jun 2024.
- M. Hashem Pesaran & Liying Yang, 2023. "Heterogeneous Autoregressions in Short T Panel Data Models," CESifo Working Paper Series 10509, CESifo.
References listed on IDEAS
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More about this item
Keywords
Heterogeneous dynamic panels; neglected heterogeneity bias; short T panels; earnings dynamics;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-06-26 (Econometrics)
- NEP-ETS-2023-06-26 (Econometric Time Series)
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