Dynamic panel estimation and homogeneity testing under cross section dependence

DOI10.1111/1368-423X.00108zbMath1032.62111OpenAlexW3121418714MaRDI QIDQ4439306

Publication date: 17 March 2004

Published in: The Econometrics Journal (Search for Journal in Brave)

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

zbMATH Keywords

tables bias dynamic factors autoregression cross section dependence dynamic panel estimation orthogonalization procedure homogeneity tests panel unit root tests GLS estimation median unbiased estimation median unbiased SUR estimation modified Hausman test

Mathematics Subject Classification ID

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

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