Panel Macroeconometric Modeling☆This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics

Cheng Hsiao

A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 205-239 from Emerald Group Publishing Limited

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 over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statistical inference for dynamic simultaneous equations models; (iv) policy evaluation; and (v) aggregation and prediction.

Keywords: Panel macro-modeling; unit root; cointegration; aggregation; prediction; C10; C33; C51 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-905320140000033007

DOI: 10.1108/S0731-905320140000033007

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