Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
作者:
M.Hashem Pesaran,
Yongcheol Shin,
RonP. Smith,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1999)
卷期:
Volume 94,
issue 446
页码: 621-634
ISSN:0162-1459
年代: 1999
DOI:10.1080/01621459.1999.10474156
出版商: Taylor & Francis Group
关键词: Consumption functions;Energy demand;Heterogeneous dynamic panels;I(0) andI(1) regressors;Pooled mean group estimator
数据来源: Taylor
摘要:
It is now quite common to have panels in which bothT, the number of time series observations, andN, the number of groups, are quite large and of the same order of magnitude. The usual practice is either to estimateNseparate regressions and calculate the coefficient means, which we call the mean group (MG) estimator, or to pool the data and assume that the slope coefficients and error variances are identical. In this article we propose an intermediate procedure, the pooled mean group (PMG) estimator, which constrains long-run coefficients to be identical but allows short-run coefficients and error variances to differ across groups. We consider both the case where the regressors are stationary and the case where they follow unit root processes, and for both cases derive the asymptotic distribution of the PMG estimators asTtends to infinity. We also provide two empirical applications: Aggregate consumption functions for 24 Organization for Economic Cooperation and Development economies over the period 1962–1993, and energy demand functions for 10 Asian developing economies over the period 1974–1990.
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