Estimating VARs with long stationary heterogeneous panels: A comparison of the fixed effect and the mean group estimators
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Cornwell, Christopher & Schmidt, Peter & Wyhowski, Donald, 1992. "Simultaneous equations and panel data," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 151-181.
- Anindya Banerjee, 1999. "Panel Data Unit Roots and Cointegration: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 607-629, November.
- Carroll, Christopher D. & Weil, David N., 1994.
"Saving and growth: a reinterpretation,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 40(1), pages 133-192, June.
- Christopher D. Carroll & David N. Weil, 1993. "Saving and growth: a reinterpretation," Working Paper Series / Economic Activity Section 140, Board of Governors of the Federal Reserve System (U.S.).
- Christopher D. Carroll & David N. Weil, 1993. "Saving and growth: a reinterpretation," Working Papers 1993-36, Brown University, Department of Economics.
- Christopher D. Carroll & David N. Weil, 1993. "Saving and Growth: A Reinterpretation," NBER Working Papers 4470, National Bureau of Economic Research, Inc.
- Javier Alvarez & Manuel Arellano, 2003.
"The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators,"
Econometrica, Econometric Society, vol. 71(4), pages 1121-1159, July.
- Alvarez, J. & Arellano, M., 1998. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Papers 9808, Centro de Estudios Monetarios Y Financieros-.
- Javier Álvarez & Manuel Arellano, 1998. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Working Papers wp1998_9808, CEMFI.
- Pesaran, M. Hashem & Smith, Ron, 1995.
"Estimating long-run relationships from dynamic heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
- Pesaran, M.H. & Smith, R., 1992. "Estimating Long-Run Relationships From Dynamic Heterogeneous Panels," Cambridge Working Papers in Economics 9215, Faculty of Economics, University of Cambridge.
- Orazio P. Attanasio & Lucio Picci & Antonello E. Scorcu, 2000. "Saving, Growth, and Investment: A Macroeconomic Analysis Using a Panel of Countries," The Review of Economics and Statistics, MIT Press, vol. 82(2), pages 182-211, May.
- Alessandro Rebucci, 2010. "Is growth exogenous? Evidence from the 1970s and 1980s," Applied Economics, Taylor & Francis Journals, vol. 42(5), pages 535-543.
- Robertson, D & Symons, J, 1992.
"Some Strange Properties of Panel Data Estimators,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(2), pages 175-189, April-Jun.
- Donald Robertson & James Symons, 1991. "Some Strange Properties of Panel Data Estimators," CEP Discussion Papers dp0044, Centre for Economic Performance, LSE.
- Chamberlain, Gary, 1982.
"Multivariate regression models for panel data,"
Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
- Gary Chamberlain, 1980. "Multivariate Refression Models for Paned Data," NBER Technical Working Papers 0008, National Bureau of Economic Research, Inc.
- Peter Phillips & Hyungsik Moon, 2000.
"Nonstationary panel data analysis: an overview of some recent developments,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 263-286.
- Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," Cowles Foundation Discussion Papers 1221, Cowles Foundation for Research in Economics, Yale University.
- Canova, Fabio & Ciccarelli, Matteo, 2004.
"Forecasting and turning point predictions in a Bayesian panel VAR model,"
Journal of Econometrics, Elsevier, vol. 120(2), pages 327-359, June.
- Fabio Canova & Matteo Ciccarelli, 1999. "Forecasting and turning point predictions in a Bayesian panel VAR model," Economics Working Papers 443, Department of Economics and Business, Universitat Pompeu Fabra.
- Canova, Fabio & Ciccarelli, Matteo, 2001. "Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model," CEPR Discussion Papers 2961, C.E.P.R. Discussion Papers.
- Fabio Canova & Matteo Ciccarelli, 2000. "Forecasting And Turning Point Predictions In A Bayesian Panel Var Model," Working Papers. Serie AD 2000-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
- Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
- repec:bla:obuest:v:61:y:1999:i:0:p:607-29 is not listed on IDEAS
- Karim M. Abadir & Kaddour Hadri & Elias Tzavalis, 1999.
"The Influence of VAR Dimensions on Estimator Biases,"
Econometrica, Econometric Society, vol. 67(1), pages 163-182, January.
- Karim Abadir & Kaddour Hadri & Elias Tzavalis, "undated". "The Influence of VAR Dimensions on Estimator Biases," Discussion Papers 96/14, Department of Economics, University of York.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2014.
"The interest rate pass-through in the Euro area during the global financial crisis,"
Journal of Banking & Finance, Elsevier, vol. 48(C), pages 104-119.
- Nikolay Hristov & Oliver Hülsewig & Timo Wollmershäuser, 2012. "The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis," CESifo Working Paper Series 3964, CESifo.
- Wollmershäuser, Timo & Hristov, Nikolay & Hülsewig, Oliver, 2013. "The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79976, Verein für Socialpolitik / German Economic Association.
- Bernoth, Kerstin & Herwartz, Helmut, 2021.
"Exchange rates, foreign currency exposure and sovereign risk,"
Journal of International Money and Finance, Elsevier, vol. 117(C).
- Bernoth, Kerstin & Herwartz, Helmut, 2021. "Exchange rates, foreign currency exposure and sovereign risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 117, pages 1-1.
- Kerstin Bernoth & Helmut Herwartz, 2019. "Exchange Rates, Foreign Currency Exposure and Sovereign Risk," Discussion Papers of DIW Berlin 1792, DIW Berlin, German Institute for Economic Research.
- Hernández Vega Marco A., 2019. "How Relevant are Capital Flows for House Prices in Emerging Economies?," Working Papers 2019-19, Banco de México.
- Helmut Herwartz & Christian Ochsner & Hannes Rohloff, 2021. "Global Credit Shocks and Real Economies," MAGKS Papers on Economics 202116, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Ambrogio Cesa‐Bianchi & Luis Felipe Cespedes & Alessandro Rebucci, 2015.
"Global Liquidity, House Prices, and the Macroeconomy: Evidence from Advanced and Emerging Economies,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S1), pages 301-335, March.
- Ambrogio Cesa-Bianchi & Mr. Luis Felipe Céspedes & Mr. Alessandro Rebucci, 2015. "Global Liquidity, House Prices, and the Macroeconomy: Evidence from Advanced and Emerging Economies," IMF Working Papers 2015/023, International Monetary Fund.
- Cesa-Bianchi, Ambrogio & Céspedes, Luis Felipe & Rebucci, Alessandro, 2015. "Global Liquidity, House Prices and the Macroeconomy: Evidence from Advanced and Emerging Economies," IDB Publications (Working Papers) 6865, Inter-American Development Bank.
- Cesa-Bianchi, Ambrogio & Cespedes, Luis & Rebucci, Alessandro, 2015. "Global liquidity, house prices and the macroeconomy: evidence from advanced and emerging economies," Bank of England working papers 522, Bank of England.
- Daniel Fehrle, 2021.
"Hedging Against Inflation: Housing vs. Equity,"
Discussion Paper Series
342, Universitaet Augsburg, Institute for Economics.
- Fehrle, Daniel, 2022. "Hedging Against Inflation: Housing vs. Equity," VfS Annual Conference 2022 (Basel): Big Data in Economics 264044, Verein für Socialpolitik / German Economic Association.
- Thomas H. W. Ziesemer, 2024. "Public R&D and Growth: A dynamic Panel Vector-Error-Correction Model Analysis for 14 OECD Countries," Economies, MDPI, vol. 12(8), pages 1-33, August.
- Piedrabuena, Bernardita, 2013. "Competencia en el mercado bancario del crédito en Chile," IDB Publications (Working Papers) 4630, Inter-American Development Bank.
- Ahmed, Rashad, 2023. "Flights-to-safety and macroeconomic adjustment in emerging markets: The role of U.S. monetary policy," Journal of International Money and Finance, Elsevier, vol. 133(C).
- Born, Benjamin & Juessen, Falko & Müller, Gernot J., 2013.
"Exchange rate regimes and fiscal multipliers,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(2), pages 446-465.
- Müller, Gernot & Born, Benjamin & Juessen, Falko, 2012. "Exchange rate regimes and fiscal multipliers," CEPR Discussion Papers 8986, C.E.P.R. Discussion Papers.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mr. Alessandro Rebucci, 2003. "On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications," IMF Working Papers 2003/073, International Monetary Fund.
- Badi H. Baltagi, 2021.
"Dynamic Panel Data Models,"
Springer Texts in Business and Economics, in: Econometric Analysis of Panel Data, edition 6, chapter 0, pages 187-228,
Springer.
- Badi H. Baltagi, 2013. "Dynamic panel data models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 10, pages 229-248, Edward Elgar Publishing.
- Peter Phillips & Hyungsik Moon, 2000.
"Nonstationary panel data analysis: an overview of some recent developments,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 263-286.
- Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," Cowles Foundation Discussion Papers 1221, Cowles Foundation for Research in Economics, Yale University.
- De Graeve, Ferre & De Jonghe, Olivier & Vennet, Rudi Vander, 2007.
"Competition, transmission and bank pricing policies: Evidence from Belgian loan and deposit markets,"
Journal of Banking & Finance, Elsevier, vol. 31(1), pages 259-278, January.
- F. De Graeve & O. De Jonghe & R. Vander Vennet, 2004. "Competition, transmission and bank pricing policies: Evidence from Belgian loan and deposit markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/261, Ghent University, Faculty of Economics and Business Administration.
- Chen, Jia & Cui, Guowei & Sarafidis, Vasilis & Yamagata, Takashi, 2025. "IV Estimation of Heterogeneous Spatial Dynamic Panel Models with Interactive Effects," MPRA Paper 123497, University Library of Munich, Germany.
- Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.
- Maurice J.G. Bun & Martin A. Carree & Artūras Juodis, 2017.
"On Maximum Likelihood Estimation of Dynamic Panel Data Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(4), pages 463-494, August.
- Maurice J.G. Bun & Martin A. Carree & Arturas Juodis, 2014. "On Maximum Likelihood estimation of dynamic panel data models," UvA-Econometrics Working Papers 14-04, Universiteit van Amsterdam, Dept. of Econometrics.
- Kapetanios, George & Price, Simon & Tasiou, Menelaos & Ventouri, Alexia, 2021.
"State-level wage Phillips curves,"
Econometrics and Statistics, Elsevier, vol. 18(C), pages 1-11.
- Kapetanios, George & Tasiou, Menelaos & Price, Simon & Ventouri, Alexia, 2018. "State-level wage Phillips curves," Essex Finance Centre Working Papers 23707, University of Essex, Essex Business School.
- George Kapetanios & Simon Price & Menelaos Tasiou & Alexia Ventouri, 2020. "State-level wage Phillips curves," CAMA Working Papers 2020-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kapetanios, G. & Price, S. & Tasiou, M. & Ventouri, A., 2020. "State-level wage Phillips curves," Working Papers 20/08, Department of Economics, City University London.
- Herzer, Dierk & Nunnenkamp, Peter, 2015.
"Income inequality and health: Evidence from developed and developing countries,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-56.
- Herzer, Dierk & Nunnenkamp, Peter, 2014. "Income inequality and health: Evidence from developed and developing countries," Economics Discussion Papers 2014-45, Kiel Institute for the World Economy (IfW Kiel).
- Herzer, Dierk & Nunnenkamo, Peter, 2014. "Income Inequality and Health: Evidence from Developed and Developing Countries," Working Paper 141/2014, Helmut Schmidt University, Hamburg.
- Loayza, Norman V. & Ranciere, Romain, 2006.
"Financial Development, Financial Fragility, and Growth,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 1051-1076, June.
- Norman Loayza & Romain Ranciere, 2002. "Financial Development, Financial Fragility, and Growth," Working Papers Central Bank of Chile 145, Central Bank of Chile.
- Norman Loayza & Romain Rancière, 2006. "Financial Development, Financial Fragility, and Growth," Post-Print halshs-00754128, HAL.
- Romain Ranciere & Norman Loayza, 2004. "Financial Development, Financial Fragility and Growth," Working Papers 192, Barcelona School of Economics.
- Norman Loayza & Romain Ranciere, 2002. "Financial Development, Financial Fragility, and Growth," CESifo Working Paper Series 684, CESifo.
- Loayza, Norman & Ranciere, Romain, 2004. "Financial development, financial fragility, and growth," Policy Research Working Paper Series 3431, The World Bank.
- Norman Loayza & Mr. Romain Ranciere, 2005. "Financial Development, Financial Fragility, and Growth," IMF Working Papers 2005/170, International Monetary Fund.
- Norman Loayza & Romain Rancière, 2004. "Financial development, financial fragility and growth," Economics Working Papers 855, Department of Economics and Business, Universitat Pompeu Fabra.
- Matteo Lanzafame, 2014.
"The balance of payments-constrained growth rate and the natural rate of growth: new empirical evidence,"
Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 38(4), pages 817-838.
- Lanzafame, Matteo, 2011. "The balance of payments constrained growth rate and the natural rate of growth: new empirical evidence," MPRA Paper 33130, University Library of Munich, Germany.
- Canova, Fabio & Ciccarelli, Matteo, 2004.
"Forecasting and turning point predictions in a Bayesian panel VAR model,"
Journal of Econometrics, Elsevier, vol. 120(2), pages 327-359, June.
- Fabio Canova & Matteo Ciccarelli, 1999. "Forecasting and turning point predictions in a Bayesian panel VAR model," Economics Working Papers 443, Department of Economics and Business, Universitat Pompeu Fabra.
- Canova, Fabio & Ciccarelli, Matteo, 2001. "Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model," CEPR Discussion Papers 2961, C.E.P.R. Discussion Papers.
- Fabio Canova & Matteo Ciccarelli, 2000. "Forecasting And Turning Point Predictions In A Bayesian Panel Var Model," Working Papers. Serie AD 2000-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Adriana Di Liberto & James Symons, 2003.
"Some Econometric Issues in Convergence Regressions,"
Manchester School, University of Manchester, vol. 71(3), pages 293-307, June.
- A. Di Liberto & J. Symons, 1999. "Some Econometric Issues In Convergence Regressions," Working Paper CRENoS 199904, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Dhaene, Geert & Jochmans, Koen, 2016.
"Bias-corrected estimation of panel vector autoregressions,"
Economics Letters, Elsevier, vol. 145(C), pages 98-103.
- Koen Jochmans & Geert Dhaene, 2015. "Bias-corrected estimation of panel vector autoregressions," Sciences Po Economics Discussion Papers 2015-06, Sciences Po Departement of Economics.
- Geert Dhaene & Koen Jochmans, 2016. "Bias-corrected estimation of panel vector autoregressions," SciencePo Working papers hal-03392010, HAL.
- Koen Jochmans & Geert Dhaene, 2015. "Bias-corrected estimation of panel vector autoregressions," SciencePo Working papers hal-01174330, HAL.
- Geert Dhaene & Koen Jochmans, 2016. "Bias-corrected estimation of panel vector autoregressions," Sciences Po publications info:hdl:2441/7si2u15cul9, Sciences Po.
- Geert Dhaene & Koen Jochmans, 2016. "Bias-corrected estimation of panel vector autoregressions," Post-Print hal-03392010, HAL.
- Koen Jochmans & Geert Dhaene, 2015. "Bias-corrected estimation of panel vector autoregressions," Sciences Po publications 2015-06, Sciences Po.
- Koen Jochmans & Geert Dhaene, 2015. "Bias-corrected estimation of panel vector autoregressions," Working Papers hal-01174330, HAL.
- Roberto Bande & Marika Karanassou, 2013. "The Natural Rate of Unemployment Hypothesis and the Evolution of Regional Disparities in Spanish Unemployment," Urban Studies, Urban Studies Journal Limited, vol. 50(10), pages 2044-2062, August.
- Catherine Hausman, 2012. "Biofuels and Land Use Change: Sugarcane and Soybean Acreage Response in Brazil," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 51(2), pages 163-187, February.
- Giavazzi, Francesco & Jappelli, Tullio & Pagano, Marco, 2000.
"Searching for non-linear effects of fiscal policy: Evidence from industrial and developing countries,"
European Economic Review, Elsevier, vol. 44(7), pages 1259-1289, June.
- Giavazzi, Francesco & Pagano, Marco & Jappelli, Tullio, 2000. "Searching for Non-Linear Effects of Fiscal Policy: Evidence from Industrial and Developing Countries," CEPR Discussion Papers 2374, C.E.P.R. Discussion Papers.
- Francesco Giavazzi & Tullio Jappelli & Marco Pagano, 2000. "Searching for Non-Linear Effects of Fiscal Policy: Evidence from Industrial and Developing Countries," NBER Working Papers 7460, National Bureau of Economic Research, Inc.
- Badi H. Baltagi, 2008.
"Forecasting with panel data,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 153-173.
- Baltagi, Badi H., 2006. "Forecasting with panel data," Discussion Paper Series 1: Economic Studies 2006,25, Deutsche Bundesbank.
- Badi H. Baltagi, 2007. "Forecasting with Panel Data," Center for Policy Research Working Papers 91, Center for Policy Research, Maxwell School, Syracuse University.
- Bai, Jushan, 2024.
"Likelihood approach to dynamic panel models with interactive effects,"
Journal of Econometrics, Elsevier, vol. 240(1).
- Bai, Jushan, 2013. "Likelihood approach to dynamic panel models with interactive effects," MPRA Paper 50267, University Library of Munich, Germany.
- Markus Eberhardt & Francis Teal, 2011.
"Econometrics For Grumblers: A New Look At The Literature On Cross‐Country Growth Empirics,"
Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 109-155, February.
- Markus Eberhardt & Francis Teal, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," CSAE Working Paper Series 2009-07, Centre for the Study of African Economies, University of Oxford.
- Eberhardt, Markus & Teal, Francis, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," MPRA Paper 15813, University Library of Munich, Germany.
More about this item
Keywords
Dynamic panel data models Monte Carlo simulation Heterogeneity bias Panel-VARs;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:27:y:2010:i:5:p:1183-1198. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30411 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.