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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Diskussionsbeiträge ; No. 2014/25

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Offermanns, Christian J.
• Event: Veröffentlichung
• (who): Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft
• (where): Berlin
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/102731
• Last update: 10.03.2025, 11:45 AM CET