On the degree of homogeneity in dynamic heterogeneous panel data models

Arbeitspapier

We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing approaches to model cross-section homogeneity within such panels. It allows for partial influence of other cross-section units on estimated coefficients, differentiating between short-run and long-run homogeneity, and determines the optimal degree of such homogeneity. The issue of cross-section homogeneity emerges as a special case of categorical conditioning. Applying our model to equilibrium exchange rate determination in a cross-country panel, we find evidence of largely heterogeneous adjustment and more homogeneous long-run coefficients across countries. The coefficient heterogeneity appears largely idiosyncratic and is not captured by simple categorizations like exchange rate regime classification.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Diskussionsbeiträge ; No. 2014/25

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Foreign Exchange ; Model Evaluation, Validation, and Selection
• Thema: dynamic panel data models ; coefficient homogeneity ; non-parametric estimation ; equilibrium exchange rates

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Offermanns, Christian J.
• Ereignis: Veröffentlichung
• (wer): Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft
• (wo): Berlin
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/102731
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ