To Pool or not to Pool: Revisited

Mohammad Pesaran and Qiankun Zhou

No 5410, CESifo Working Paper Series from CESifo

Abstract: This paper provides a new comparative analysis of pooled least squares and fixed effects 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 fixed effects in the panel. The use of exponent 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 0, the condition for poolability generalizes to δ

Keywords: short panel; fixed effects estimator; pooled estimator; Efficiency; diagnostic test (search for similar items in EconPapers)
JEL-codes: C01 C23 C33 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp5410.pdf (application/pdf)

Related works:
Journal Article: To Pool or Not to Pool: Revisited (2018)
Working Paper: To Pool or not to Pool: Revisited (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_5410

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().