Panel data analysis with heterogeneous dynamics
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Publication:130132
DOI10.1016/J.JECONOM.2019.04.036zbMATH Open1452.62953arXiv1803.09452OpenAlexW3121286089WikidataQ127828987 ScholiaQ127828987MaRDI QIDQ130132FDOQ130132
Authors: Ryo Okui, Takahide Yanagi, Ryo Okui, Takahide Yanagi 
Publication date: October 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Abstract: This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the parameters of interest based on their empirical distributions. We then investigate the asymptotic properties of our estimators using double asymptotics and propose split-panel jackknife bias correction and inference based on the cross-sectional bootstrap. We illustrate the usefulness of our procedures by studying the deviation dynamics of the law of one price. Monte Carlo simulations confirm that the proposed bias correction is effective and yields valid inference in small samples.
Full work available at URL: https://arxiv.org/abs/1803.09452
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Functional limit theorems; invariance principles (60F17)
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Cited In (17)
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