Arbitrary temporal heterogeneity in time of European countries panel model

Roman Matkovskyy

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Abstract: It considers a panel data model for 24 European countries with unobservable multiple interactive effects, which are correlated with the regressors. Grounded on properties of the traditional micro-economic theory of production, the arbitrary temporal heterogeneity in time with a factor structure is fit to the Cobb-Douglas stochastic distance frontier with multiple inputs/multiple outputs model and a semi-parametric approach is applied to parameters estimation. The results show that heterogeneity over time and across the European countries matters. The model distinguished 5 unobserved factors that influence the European industry production. The unobserved common factors have a cyclical behavior with the approximate length of 2 years.

Keywords: heterogeneity; hidden factors; panel models; principal component analysis (search for similar items in EconPapers)
Date: 2016-03-28
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Published in Economics Bulletin, 2016, 36 (1), pp.576-587

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Journal Article: Arbitrary temporal heterogeneity in time of European countries panel model (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02010689

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