Panel estimation for worriers
The recent blossoming of panel econometrics in general and panel time-series methods in particular has enabled many more research questions to be investigated than before. However, this development has not assuaged serious concerns over the lack of diagnostic testing procedures in panel econometrics...
| Main Authors: | , , |
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| Format: | Working paper |
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University of Oxford
2010
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| _version_ | 1797063645919707136 |
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| author | Eberhardt, M Banerjee, A Reade, J |
| author_facet | Eberhardt, M Banerjee, A Reade, J |
| author_sort | Eberhardt, M |
| collection | OXFORD |
| description | The recent blossoming of panel econometrics in general and panel time-series methods in particular has enabled many more research questions to be investigated than before. However, this development has not assuaged serious concerns over the lack of diagnostic testing procedures in panel econometrics, in particular vis-a-vis the prominence of such practices in the time-series domain: the recent introduction of residual cross-section independence tests aside, within mainstream panel empirics the combination of 'model', 'spefication' and 'testing' typically refers to the distinction between fixed and random effects, as opposed to a rigorous investigation of residual properties. In this paper we investigate these issues in the context of non-stationary panels with multifactor error structure, employing Monte Carlo simulations to investigate the distributions and rejection frequencies for standard time-series diagnostic procedures, including tests for residual autocorrelation, ARCH, normality, heteroskedasticity and functional form. |
| first_indexed | 2024-03-06T21:02:54Z |
| format | Working paper |
| id | oxford-uuid:3b75dbe5-6b5d-4b3e-b2c7-3bc0925a232f |
| institution | University of Oxford |
| last_indexed | 2024-03-06T21:02:54Z |
| publishDate | 2010 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:3b75dbe5-6b5d-4b3e-b2c7-3bc0925a232f2022-03-26T14:07:46ZPanel estimation for worriersWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:3b75dbe5-6b5d-4b3e-b2c7-3bc0925a232fBulk import via SwordSymplectic ElementsUniversity of Oxford2010Eberhardt, MBanerjee, AReade, JThe recent blossoming of panel econometrics in general and panel time-series methods in particular has enabled many more research questions to be investigated than before. However, this development has not assuaged serious concerns over the lack of diagnostic testing procedures in panel econometrics, in particular vis-a-vis the prominence of such practices in the time-series domain: the recent introduction of residual cross-section independence tests aside, within mainstream panel empirics the combination of 'model', 'spefication' and 'testing' typically refers to the distinction between fixed and random effects, as opposed to a rigorous investigation of residual properties. In this paper we investigate these issues in the context of non-stationary panels with multifactor error structure, employing Monte Carlo simulations to investigate the distributions and rejection frequencies for standard time-series diagnostic procedures, including tests for residual autocorrelation, ARCH, normality, heteroskedasticity and functional form. |
| spellingShingle | Eberhardt, M Banerjee, A Reade, J Panel estimation for worriers |
| title | Panel estimation for worriers |
| title_full | Panel estimation for worriers |
| title_fullStr | Panel estimation for worriers |
| title_full_unstemmed | Panel estimation for worriers |
| title_short | Panel estimation for worriers |
| title_sort | panel estimation for worriers |
| work_keys_str_mv | AT eberhardtm panelestimationforworriers AT banerjeea panelestimationforworriers AT readej panelestimationforworriers |