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Arbitrary temporal heterogeneity in time of European countries panel model

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  • Roman Matkovskyy

    (ESC Rennes School of Business)

Abstract

It considers a panel data model for 24 European countries with unobservable multiple interactive effects, which are correlated with the regressors. Grounded on properties of the traditional micro-economic theory of production, the arbitrary temporal heterogeneity in time with a factor structure is fit to the Cobb-Douglas stochastic distance frontier with multiple inputs/multiple outputs model and a semi-parametric approach is applied to parameters estimation. The results show that heterogeneity over time and across the European countries matters. The model distinguished 5 unobserved factors that influence the European industry production. The unobserved common factors have a cyclical behavior with the approximate length of 2 years.

Suggested Citation

  • Roman Matkovskyy, 2016. "Arbitrary temporal heterogeneity in time of European countries panel model," Economics Bulletin, AccessEcon, vol. 36(1), pages 576-587.
    • Handle: RePEc:ebl:ecbull:eb-15-00234
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    References listed on IDEAS

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    Cited by:

    1. Roman Matkovskyy, 2016. "A comparison of pre- and post-crisis efficiency of OECD countries: evidence from a model with temporal heterogeneity in time and unobservable individual effect," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 13(2), pages 135-167, December.

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    More about this item

    Keywords

    heterogeneity; hidden factors; panel models; principal component analysis;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • A1 - General Economics and Teaching - - General Economics

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