To Pool or Not to Pool: Revisited

Mohammad Pesaran and Qiankun Zhou

Oxford Bulletin of Economics and Statistics, 2018, vol. 80, issue 2, 185-217

Abstract: This paper provides a new comparative analysis of pooled least squares and fixed effects (FE) estimators of the slope coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed to increase without bounds. The individual effects are allowed to be correlated with the regressors, and the comparison is carried out in terms of an exponent coefficient, δ, which measures the degree of pervasiveness of the FE in the panel. The use of δ allows us to distinguish between poolability of small N dimensional panels with large T from large N dimensional panels with small T. It is shown that the pooled estimator remains consistent so long as δ

Date: 2018
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https://doi.org/10.1111/obes.12220

Related works:
Working Paper: To Pool or not to Pool: Revisited (2017)
Working Paper: To Pool or not to Pool: Revisited (2015)
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