Dynamic panel estimation and homogeneity testing under cross section dependence

DOI10.1111/1368-423X.00108MaRDI QIDQ4439306zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips, Donggyu Sul

Publication date 17 March 2004

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1368-423x.00108

zbMATH Keywords

autoregressionbiascross section dependencedynamic factorsdynamic panel estimationGLS estimationhomogeneity testsmedian unbiased estimationmedian unbiased SUR estimationmodified Hausman testorthogonalization procedurepanel unit root teststables

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

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Cites work

• An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• scientific article; zbMATH DE number 3145638 (Why is no real title available?)
• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• Linear Regression Limit Theory for Nonstationary Panel Data

Cited in

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• The error-in-rejection probability of meta-analytic panel tests
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• Analysis of the cross-effects in a cross-lagged panel study
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• A nonparametric poolability test for panel data models with cross section dependence
• Lessons from a decade of IPS and LLC
• Nonparametric estimation in large panels with cross-sectional dependence
• Tests for random time effects and spatial error correlation in panel regression models
• Testing economic convergence in non-stationary panel
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• Panel data measures of price discovery
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