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Full-Text Articles in Mathematics
Consistent Estimation With Weak Instruments In Panel Data, Chihwa Kao, Long Liu
Consistent Estimation With Weak Instruments In Panel Data, Chihwa Kao, Long Liu
Center for Policy Research
This note analyzes the asymptotic distribution for instrumental variables regression for panel data when the available instruments are weak. We show that consistency can be established in panel data.
Asymptotic Properties Of Estimators For The Linear Panel Regression Model With Individual Effects And Serially Correlated Errors: The Case Of Stationary And Non-Stationary Regressors And Residuals, Badi H. Baltagi, Chihwa Kao, Long Liu
Asymptotic Properties Of Estimators For The Linear Panel Regression Model With Individual Effects And Serially Correlated Errors: The Case Of Stationary And Non-Stationary Regressors And Residuals, Badi H. Baltagi, Chihwa Kao, Long Liu
Center for Policy Research
This paper studies the asymptotic properties of standard panel data estimators in a simple panel regression model with error component disturbances. Both the regressor and the remainder disturbance term are assumed to be autoregressive and possibly non-stationary. Asymptotic distributions are derived for the standard panel data estimators including ordinary least squares, fixed effects, first-difference, and generalized least squares (GLS) estimators when both T and n are large. We show that all the estimators have asymptotic normal distributions and have different convergence rates dependent on the non-stationarity of the regressors and the remainder disturbances. We show using Monte Carlo experiments that …
Modelling And Testing For Structural Changes In Panel Cointegration Models With Common And Idiosyncratic Stochastic Trend, Chihwa Kao, Lorenzo Trapani, Giovanni Urga
Modelling And Testing For Structural Changes In Panel Cointegration Models With Common And Idiosyncratic Stochastic Trend, Chihwa Kao, Lorenzo Trapani, Giovanni Urga
Center for Policy Research
In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative hypothesis of (at least) one common change point, which is possibly unknown. The limiting distributions of the proposed test statistics are derived. Monte Carlo simulations examine size and power of the proposed tests. We are grateful for discussions with Robert De Jong, Long-Fei Lee, Zongwu Cai, and Yupin Hu. We would also like to thank participants in …
Forecasting With Panel Data, Badi H. Baltagi
Forecasting With Panel Data, Badi H. Baltagi
Center for Policy Research
This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression model and surveying best linear unbiased prediction under various assumptions of the disturbance term. This includes various ARMA models as well as spatial autoregressive models. The paper also surveys how these forecasts have been used in panel data applications, running horse races between heterogeneous and homogeneous panel data models using out of sample forecasts.