Panel Macroeconometric Modeling

Cheng Hsiao

No 2016-02-21, Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Abstract: This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and overtime. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration;(iii) statistical inference for dynamics imultaneous equations models;(iv) policy evaluation; and (v)aggregation and prediction.

Keywords: Panelmacro-modeling; Unitroot; Cointegration; Aggregation; Prediction (search for similar items in EconPapers)
JEL-codes: C10 C33 C51 (search for similar items in EconPapers)
Date: 2016-02-21
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Persistent link: https://EconPapers.repec.org/RePEc:wyi:wpaper:002315

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