Estimation of heterogeneous panels with systematic slope variations

DOI10.1016/J.JECONOM.2020.04.007MaRDI QIDQ2224984zbMATH OpenOpenAlexFDO

Authors Nazarii Salish, Jörg Breitung

Publication date 4 February 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.04.007

zbMATH Keywords

panel datarandom effectsslope heterogeneity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A Test for Slope Heterogeneity in Fixed Effects Models
• Analyzing the random coefficient model nonparametrically
• Asymptotic properties of a robust variance matrix estimator for panel data when T is large
• Econometric analysis of cross section and panel data.
• Efficiency Bounds for Semiparametric Regression
• Efficient Inference in a Random Coefficient Regression Model
• Estimating long-run relationships from dynamic heterogeneous panels
• Fixed effects instrumental variables estimation in correlated random coefficient panel data models
• Identifying Distributional Characteristics in Random Coefficients Panel Data Models
• Lagrange multiplier type tests for slope homogeneity in panel data models
• On the Pooling of Time Series and Cross Section Data
• Statistical inference in a random coefficient panel model
• Testing slope homogeneity in large panels

Cited in

(4)

• AN ALTERNATIVE DERIVATION OF MUNDLAK'S FIXED EFFECTS RESULTS USING SYSTEM ESTIMATION
• Neglected heterogeneity, Simpson's paradox, and the anatomy of least squares
• Moment-based estimation of linear panel data models with factor-augmented errors
• Unified Inference for Panel Autoregressive Models With Unobserved Grouped Heterogeneity

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