Alexander Chudik, M. Hashem Pesaran, Ron P. Smith
arXiv 3 Nov 2023 · Econometrics · publishedEconometrics and Statistics (2023) · 9 citations (OpenAlex)
arXiv:2311.02196 · PDF · DOI · OpenAlex · Extracted main text
Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed. The PB estimator is directly comparable to the widely used Pooled Mean Group (PMG) estimator, and is shown to be consistent and asymptotically normal. Monte Carlo simulations show good small sample performance of PB compared to the existing estimators in the literature, namely PMG, panel dynamic OLS (PDOLS), and panel fully-modified OLS (FMOLS). Application of two bias-correction methods and a bootstrapping of critical values to conduct inference robust to cross-sectional dependence of errors are also considered. The utility of the PB estimator is illustrated in an empirical application to the aggregate consumption function.
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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 | Pesaran, M. H., Y. Shin, and R. P. Smith (1999) https://doi.org/10.1080/01621459.1999.10474156Pooled mean group estimation of dynamic heterogeneous panels self | 0.928 | 15 | 5 | 80% |
| 2 | Pedroni, P (1996) https://web.williams.edu/Economics/pedroni/WP-96-20.pdfFully Modified OLS for Heterogeneous Cointegrated Panels and the Case of… | 0.928 | 10 | 4 | 80% |
| 3 | Mark, N. C. and D. Sul (2003) https://doi.org/10.1111/j.1468-0084.2003.00066.xCointegration vector estimation by panel DOLS and long-run money demand | 0.928 | 5 | 4 | 80% |
| 4 | Pedroni, P (2001) https://doi.org/10.1162/003465301753237803Purchasing Power Parity Tests in Cointegrated Panels | 0.928 | 5 | 4 | 80% |
| 5 | Bewley, R. A (1979) https://doi.org/10.1016/0165-1765(79)90011-9The direct estimation of the equilibrium response in a linear dynamic model | 0.811 | 4 | 2 | 100% |
| 6 | Dhaene, G. and K. Jochmans (2015) https://doi.org/10.1093/restud/rdv007Split-panel jackknife estimation of fixed-effect models | 0.811 | 4 | 2 | 100% |
| 7 | Liu, R (1988) https://doi.org/10.1214/aos/1176351062Bootstrap procedure under some non-i.i.d. models | 0.644 | 4 | 2 | 50% |
| 8 | Chudik, A., M. H. Pesaran, and R. P. Smith (2023) https://doi.org/10.24149/gwp415Revisiting the Great Ratios Hypothesis self | 0.644 | 2 | 2 | 100% |
| 9 | Chudik, A., M. H. Pesaran, and J.-C. Yang (2018) https://doi.org/10.1002/jae.2623Half-panel jackknife fixed-effects estimation of linear panels with weakly exogenous regressors self | 0.644 | 2 | 2 | 100% |
| 10 | Wickens, M. R. and T. S. Breusch (1988) https://doi.org/10.2307/2233314 Dynamic specification, the long-run and the estimation of transformed regression models | 0.511 | 2 | 1 | 100% |
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