Misspecified Heterogeneity in Panel Data Models

Pierre Blanchard and Laszlo Matyas ()

No 10/95, Monash 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: Heterogeneity; Panel Data (search for similar items in EconPapers)
Pages: 32 pages
Date: 1995-08
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