Estimating long-run relationships from dynamic heterogeneous panels Export

@article{Pesaran&Smith1995, abstract = {In panel data four procedures are widely used: pooling, aggregating, averaging group estimates, and cross-section regression. In the static case, if the coefficients differ randomly, all four procedures give unbiased estimates of coefficient means. In the dynamic case, when the coefficients differ across groups, pooling and aggregating give inconsistent and potentially highly misleading estimates of the coefficients, though the cross-section can provide consistent estimates of the long-run effects. The theoretical results on the properties of the four procedures are illustrated by UK labour demand functions for 38 industries over 30 years.}, author = {Pesaran, Hashem and Smith, Ron}, citeulike-article-id = {4007966}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/0304-4076(94)01644-F}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/0304-4076(94)01644-F}, doi = {10.1016/0304-4076(94)01644-F}, issn = {03044076}, journal = {Journal of Econometrics}, keywords = {heterogeneous\_estimators, panel\_methods}, month = {July}, number = {1}, pages = {79--113}, posted-at = {2009-02-04 16:18:29}, priority = {2}, title = {Estimating long-run relationships from dynamic heterogeneous panels}, url = {http://dx.doi.org/10.1016/0304-4076(94)01644-F}, volume = {68}, year = {1995} }

TY - JOUR ID - Pesaran&Smith1995 L3 - citeulike-article-id:4007966 N2 - In panel data four procedures are widely used: pooling, aggregating, averaging group estimates, and cross-section regression. In the static case, if the coefficients differ randomly, all four procedures give unbiased estimates of coefficient means. In the dynamic case, when the coefficients differ across groups, pooling and aggregating give inconsistent and potentially highly misleading estimates of the coefficients, though the cross-section can provide consistent estimates of the long-run effects. The theoretical results on the properties of the four procedures are illustrated by UK labour demand functions for 38 industries over 30 years. IS - 1 JF - Journal of Econometrics SN - 03044076 EP - 113 TI - Estimating long-run relationships from dynamic heterogeneous panels VL - 68 SP - 79 KW - heterogeneous_estimators KW - panel_methods AU - Pesaran, Hashem AU - Smith, Ron PY - 1995/07// UR - http://dx.doi.org/10.1016/0304-4076(94)01644-F ER -