Neglected dynamics in panel data models; consequences and detection in finite samples*

DOI10.1111/j.1467-9574.1995.tb01474.xzbMath0840.62100OpenAlexW2062248245MaRDI QIDQ4870012

I. T. van Den Doel, Jan F. Kiviet

Publication date: 4 July 1996

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9574.1995.tb01474.x

zbMATH Keywords

heterogeneitypanel data modelsbiassimulation studyexact inferencedynamic misspecificationdynamic adjustmentlagged dependent variablerandom individual effectspartial adjustmentasymptotic test proceduresconsumer expenditureEngle curvesstatic cross-section

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (3)

Estimating Long and Short Run Effects in Static Panel Models ⋮ On bias, inconsistency, and efficiency of various estimators in dynamic panel data models ⋮ Asymptotic consequences of neglected dynamics in individual effects models*

Cites Work

• Unnamed Item
• Estimating Vector Autoregressions with Panel Data
• Efficient estimation of models for dynamic panel data
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• The Interpretation of Cross Section Estimates in a Dynamic Model
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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