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Panel Macroeconometric Modeling☆This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics

In: Essays in Honor of Peter C. B. Phillips

Author

Listed:
  • Cheng Hsiao

Abstract

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statistical inference for dynamic simultaneous equations models; (iv) policy evaluation; and (v) aggregation and prediction.

Suggested Citation

  • Cheng Hsiao, 2014. "Panel Macroeconometric Modeling☆This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 33, pages 205-239, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-905320140000033007
    DOI: 10.1108/S0731-905320140000033007
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    More about this item

    Keywords

    Panel macro-modeling; unit root; cointegration; aggregation; prediction; C10; C33; C51;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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