Dynamic panel estimation and homogeneity testing under cross section dependence
Bibliographic Data
| ID | 23326445 |
|---|---|
| Authors | Peter C B Phillips (0000-0003-2341-0451, Cowles Foundation for Research in Economics, Yale University, New Haven, CT 06520‐8281, USA; University of Auckland & University of York [email protected], corresponding author), Donggyu Sul (Department of Economics, University of Auckland, Private Bag 92019, Auckland, New Zealand [email protected], corresponding author) |
| Year | 2003 |
| Volume | 6 |
| Issue | 1 |
| Pages | 217-259 |
| Publication date | 2003-06-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Econometrics Journal (JOURNAL) |
| Journal identifiers | ISSN: 1368-4221 • E-ISSN: 1368-423X |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/1368-423x.00108 |
| OpenAlex | W2149963562 |
| Language | EN |
| Citations received | 94 |
| References cited | 23 |
This paper deals with cross section dependence, homogeneity restrictions and small sample bias issues in dynamic panel regressions. To address the bias problem we develop a panel approach to median unbiased estimation that takes account of cross section dependence. The estimators given here considerably reduce the effects of bias and gain precision from estimating cross section error correlation. This paper also develops an asymptotic theory for tests of coefficient homogeneity under cross section dependence, and proposes a modified Hausman test to test for the presence of homogeneous unit roots. An orthogonalization procedure, based on iterated method of moments estimation, is developed to remove cross section dependence and permit the use of conventional and meta unit root tests with panel data. Some simulations investigating the finite sample performance of the estimation and test procedures are reported.
Algorithm · Econometrics · Estimator · Homogeneity (statistics) · Inference · Null hypothesis · Orthogonalization · Panel data · Statistics · Unit root · Computer Science · Economic Growth and Productivity · Mathematics · Monetary Policy and Economic Impact · Spatial and Panel Data Analysis
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| Unique citing works | 94 |
|---|---|
| Citations per year | 4,09 |
| Citation span | 2003 - 2026 (24) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 88 |