Misspecified Heterogeneity in Panel Data Models

Pierre Blanchard and Laszlo Matyas

No 267763, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper we analyse systematically through Monte Carlo simulations the consequences of misspecified heterogeneity on the most popular linear panel data models. We also illustrate our findings, through the estimation of a well known investment demand model.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 35
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267763

DOI: 10.22004/ag.econ.267763

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