M. Hashem Pesaran, Liying Yang
arXiv 8 Jun 2023 · Econometrics · publishedJournal of Applied Econometrics (2024) · 4 citations (OpenAlex)
arXiv:2306.05299 · PDF · DOI · OpenAlex · Extracted main text
This paper considers a first-order autoregressive panel data model with individual-specific effects and heterogeneous autoregressive coefficients defined on the interval (-1,1], thus allowing for some of the individual processes to have unit roots. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive (AR) coefficients, assuming a random coefficient model for the autoregressive coefficients without imposing any restrictions on the fixed effects. It is shown the standard generalized method of moments estimators obtained under homogeneous slopes are biased. Small sample properties of the proposed estimators are investigated by Monte Carlo experiments and compared with a number of alternatives, both under homogeneous and heterogeneous slopes. It is found that a simple moment estimator of the mean of heterogeneous AR coefficients performs very well even for moderate sample sizes, but to reliably estimate the variance of AR coefficients much larger samples are required. It is also required that the true value of this variance is not too close to zero. The utility of the heterogeneous approach is illustrated in the case of earnings dynamics.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chudik, A. and M. H. Pesaran (2021) https://doi.org/10.1080/07474938.2021.1971388An augmented Anderson–Hsiao estimator for dynamic short-T panels | 1.000 | 13 | 4 | 100% |
| 2 | Mavroeidis, S., Y. Sasaki, and I. Welch (2015) https://doi.org/10.1016/j.jeconom.2015.05.001Estimation of heterogeneous autoregressive parameters with short panel data | 1.000 | 13 | 4 | 100% |
| 3 | Arellano, M. and S. Bond (1991) https://doi.org/10.2307/2297968Some tests of specification for panel data: Monte Carlo evidence and an application to employment… | 1.000 | 11 | 4 | 100% |
| 4 | Blundell, R. and S. Bond (1998) https://doi.org/10.1016/S0304-4076(98)00009-8Initial conditions and moment restrictions in dynamic panel data models | 1.000 | 11 | 4 | 100% |
| 5 | Meghir, C. and L. Pistaferri (2004) https://doi.org/10.1111/j.1468-0262.2004.00476.xIncome variance dynamics and heterogeneity | 1.000 | 6 | 3 | 100% |
| 6 | Anderson, T. W. and C. Hsiao (1981) https://doi.org/10.2307/2287517Estimation of dynamic models with error components | 1.000 | 5 | 3 | 100% |
| 7 | Anderson, T. W. and C. Hsiao (1982) https://doi.org/10.1016/0304-4076(82)90095-1Formulation and estimation of dynamic models using panel data | 1.000 | 5 | 3 | 100% |
| 8 | Han, C. and P. C. Phillips (2010) https://doi.org/10.1017/S026646660909063XGMM estimation for dynamic panels with fixed effects and strong instruments at unity | 0.811 | 4 | 2 | 100% |
| 9 | Gu, J. and R. Koenker (2017) https://doi.org/10.1080/07350015.2015.1052457Unobserved heterogeneity in income dynamics: an empirical Bayes perspective | 0.737 | 3 | 2 | 100% |
| 10 | MaCurdy, T. E (1982) https://doi.org/10.1016/0304-4076(82)90096-3The use of time series processes to model the error structure of earnings in a longi… | 0.644 | 4 | 1 | 100% |
Showing the top 10 of 36 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Identification and estimation of dynamic random coefficient models | 0.511 | 2 | 1 |