Pooled mean group estimation of dynamic heterogeneous panels
Pooled mean group estimation of dynamic heterogeneous panels
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DOI：
10.2307/2670182
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发表时间：
1999-06-01
影响因子：
3.7
通讯作者：
Smith, RP
中科院分区：
文献类型：
--
作者：
Pesaran, MH;Shin, YC;Smith, RP
现在很常见的情况是，在面板中，时间序列观测的数量T和组的数量N都很大，并且具有相同的数量级。通常的做法是估计N个独立的回归并计算系数均值，我们称之为均值组（MG）估计量，或者合并数据并假设斜率系数和误差方差相同。在这篇文章中，我们提出了一个中间的过程，汇集平均组（PMG）估计，它限制长期运行系数相同，但允许短期系数和误差方差不同的群体。我们考虑的情况下，回归是平稳的，并在这两种情况下，他们遵循单位根过程，并为这两种情况下得出的渐近分布的PMG估计T趋于无穷大。我们还提供了两个经验的应用：总消费函数的24个经济合作与发展组织的经济体在1962-1993年期间，和能源需求函数的10个亚洲发展中经济体在1974-1990年期间。
It is now quite common to have panels in which both T, the number of time series observations, and N, the number of groups, are quite large and of the same order of magnitude. The usual practice is either to estimate N separate regressions and calculate the coefficient means, which we call the mean group (MG) estimator, or to pool the data and assume that the slope coefficients and error variances are identical. In this article we propose an intermediate procedure, the pooled mean group (PMG) estimator, which constrains long-run coefficients to be identical but allows short-run coefficients and error variances to differ across groups. We consider both the case where the regressors are stationary and the case where they follow unit root processes, and for both cases derive the asymptotic distribution of the PMG estimators as T tends to infinity. We also provide two empirical applications: aggregate consumption functions for 24 Organization for Economic Cooperation and Development economies over the period 1962-1993, and energy demand functions for 10 Asian developing economies over the period 1974-1990.