Non stationary panel models allowing for latent trends have recently be- come very popular. However, standard methods, which are based on factor extraction or cross-section averages, require large sample sizes typically not available in practice. In these cases we propose the simple and robust al- ternative of augmenting the panel regression with common time dummies, checking the validity of the underlying assumptions by means of a panel cointegration test. An application to modelling labour productivity growth in the four major European economies (France, Germany, Italy and UK) illustrates the method.
Estimating unobservable common trends in small samples using panel cointegration methods / DI IORIO, Francesca; S., Fachin. - (2014). (Intervento presentato al convegno 8th International Conference on Computational and Financial Econometrics (CFE 2014) tenutosi a University of Pisa nel 6-8 December 2014).
Estimating unobservable common trends in small samples using panel cointegration methods
DI IORIO, FRANCESCA;
2014
Abstract
Non stationary panel models allowing for latent trends have recently be- come very popular. However, standard methods, which are based on factor extraction or cross-section averages, require large sample sizes typically not available in practice. In these cases we propose the simple and robust al- ternative of augmenting the panel regression with common time dummies, checking the validity of the underlying assumptions by means of a panel cointegration test. An application to modelling labour productivity growth in the four major European economies (France, Germany, Italy and UK) illustrates the method.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
