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Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023
This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...
Persistent link: https://www.econbiz.de/10014357208
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943386
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943450
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012946881
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Debt, inflation and growth : robust estimation of long-run effects in dynamic panel data models
Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2013
the estimation of long-run effects in dynamic heterogeneous panel data models with cross-sectionally dependent errors. The …
Persistent link: https://www.econbiz.de/10010212372
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A bias-corrected method of moments approach to estimation of dynamic Short-T panels
Chudik, Alexander; Pesaran, M. Hashem - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10011735967
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Half-Panel Jackknife Fixed Effects Estimation of Panels with Weakly Exogenous Regressors
Chudik, Alexander - 2018
This paper considers estimation and inference in linear panel regression models with lagged dependent variables and … generalizes the well known Nickell bias formula derived for the pure autoregressive dynamic panel data models. It shows that in … N/T is sufficiently small. To deal with the bias and size distortion of FE-TE estimator the use of half-panel Jackknife …
Persistent link: https://www.econbiz.de/10012934791
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Half-Panel Jackknife Fixed Effects Estimation of Panels with Weakly Exogenous Regressor
Chudik, Alexander - 2017
This paper considers estimation and inference in fixed effects (FE) panel regression models with lagged dependent … generalization of the Nickell type bias derived in the literature for the pure dynamic panel data models. It shows that in the … sufficiently small. To deal with the bias and size distortion of FE estimator when NN is large relative to TT, the use of half-panel …
Persistent link: https://www.econbiz.de/10012968220
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Debt, Inflation and Growth - Robust Estimation of Long-Run Effects in Dynamic Panel Data Models
Chudik, Alexander - 2013
the estimation of long-run effects in dynamic heterogeneous panel data models with cross-sectionally dependent errors. The …
Persistent link: https://www.econbiz.de/10013071384
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Debt, Inflation and Growth : Robust Estimation of Long-Run Effects in Dynamic Panel Data Models
Chudik, Alexander - 2013
the estimation of long-run effects in dynamic heterogeneous panel data models with cross-sectionally dependent errors. The …
Persistent link: https://www.econbiz.de/10013072764