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    Estimating long-run relationships from dynamic heterogeneous panels

    Pesaran, M.H. and Smith, Ron P. (1995) Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics 68 (1), pp. 79-113. ISSN 0304-4076.

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    In panel data four procedures are widely used: pooling, aggregating, averaging group estimates, and cross-section regression. In the static case, if the coefficients differ randomly, all four procedures give unbiased estimates of coefficient means. In the dynamic case, when the coefficients differ across groups, pooling and aggregating give inconsistent and potentially highly misleading estimates of the coefficients, though the cross-section can provide consistent estimates of the long-run effects. The theoretical results on the properties of the four procedures are illustrated by UK labour demand functions for 38 industries over 30 years.


    Item Type: Article
    School: School of Business, Economics & Informatics > Computer Science and Information Systems
    Depositing User: Sarah Hall
    Date Deposited: 31 Aug 2020 18:47
    Last Modified: 01 Dec 2021 16:25


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