Estimating long-run effects and the exponent of cross-sectional dependence: An update to xtdcce2
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DOI: 10.1177/1536867X211045560
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- Jan Ditzen, 2021. "Estimating long run effects and the exponent of cross-sectional dependence: an update to xtdcce2," BEMPS - Bozen Economics & Management Paper Series BEMPS81, Faculty of Economics and Management at the Free University of Bozen.
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More about this item
Keywords
xtdcce2; xtcse2; xtcd2; parameter heterogeneity; dynamic panels; cross-section dependence; common-correlated effects; pooled mean-group estimator; mean-group estimator; error-correction model; ardl; long-run coefficients;
All these keywords.JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
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