Panel Time Series: Review of the Methodological Evolution

In this article, we discuss the econometric treatment of macropanels, also known as panel time series. This new approach rejects the assumption of slope homogeneity and handles nonstationarity. It also recognizes that cross-section dependence (that is, some correlation structure in the error term be...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autores principales: Burdisso, Tamara, Sangiácomo, Máximo
Formato: Articulo
Lenguaje:Inglés
Publicado: 2016
Materias:
Ciencias Económicas
st0439
xtcsi
xtcips
panel time series
time series
cross-section dependence
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/123426
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-123426
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
st0439
xtcsi
xtcips
panel time series
time series
cross-section dependence
spellingShingle Ciencias Económicas
st0439
xtcsi
xtcips
panel time series
time series
cross-section dependence
Burdisso, Tamara
Sangiácomo, Máximo
Panel Time Series: Review of the Methodological Evolution
topic_facet Ciencias Económicas
st0439
xtcsi
xtcips
panel time series
time series
cross-section dependence
description In this article, we discuss the econometric treatment of macropanels, also known as panel time series. This new approach rejects the assumption of slope homogeneity and handles nonstationarity. It also recognizes that cross-section dependence (that is, some correlation structure in the error term between units due to unobservable common factors) squanders efficiency gains by operating with a panel. This approach uses a new set of estimators known in the literature as the common correlated effect, which essentially consists of increasing the model to be fit by adding the averages of the individuals in each time t, of both the dependent variable and the specific regressors of each individual. We present two commands developed for the evaluation and treatment of cross-section dependence.
format Articulo
Articulo
author Burdisso, Tamara
Sangiácomo, Máximo
author_facet Burdisso, Tamara
Sangiácomo, Máximo
author_sort Burdisso, Tamara
title Panel Time Series: Review of the Methodological Evolution
title_short Panel Time Series: Review of the Methodological Evolution
title_full Panel Time Series: Review of the Methodological Evolution
title_fullStr Panel Time Series: Review of the Methodological Evolution
title_full_unstemmed Panel Time Series: Review of the Methodological Evolution
title_sort panel time series: review of the methodological evolution
publishDate 2016
url http://sedici.unlp.edu.ar/handle/10915/123426
work_keys_str_mv AT burdissotamara paneltimeseriesreviewofthemethodologicalevolution
AT sangiacomomaximo paneltimeseriesreviewofthemethodologicalevolution
bdutipo_str Repositorios
_version_ 1764820449480409088

Ejemplares similares