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    Pooled mean group estimation of dynamic heterogeneous panels

    Pesaran, M.H. and Shin, Y. and Smith, Ron (1999) Pooled mean group estimation of dynamic heterogeneous panels. Journal of the American Statistical Association 94 (466), pp. 621-634. ISSN 0162-1459.

    Full text not available from this repository.
    Official URL: 94, 1999 - Issue 446

    Abstract

    It is now quite common to have panels in which both T, the number of time series observations, and N, the number of groups, are quite large and of the same order of magnitude. The usual practice is either to estimate N separate regressions and calculate the coefficient means, which we call the mean group (MG) estimator, or to pool the data and assume that the slope coefficients and error variances are identical. In this article we propose an intermediate procedure, the pooled mean group (PMG) estimator, which constrains long-run coefficients to be identical but allows short-run coefficients and error variances to differ across groups. We consider both the case where the regressors are stationary and the case where they follow unit root processes, and for both cases derive the asymptotic distribution of the PMG estimators as T tends to infinity. We also provide two empirical applications: Aggregate consumption functions for 24 Organization for Economic Cooperation and Development economies over the period 1962–1993, and energy demand functions for 10 Asian developing economies over the period 1974–1990.

    Metadata

    Item Type: Article
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 31 Aug 2020 12:57
    Last Modified: 12 Oct 2020 14:54
    URI: https://eprints.bbk.ac.uk/id/eprint/40676

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