Determining the Poolability of Individual Series in Panel Datasets

George Kapetanios

No 499, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are assumed to have common values across panel units. However, the assumption of poolability has not been studied extensively beyond tests that determine whether a given dataset is poolable. We propose a method that enables the distinction of a set of series into a set of poolable series for which the hypothesis of a common parameter subvector cannot be reject and a set of series for which the poolability hypothesis fails. We discuss its theoretical properties and investigate its small sample performance for a particular simple model in a Monte Carlo study.

Keywords: Panel datasets; Poolability; Sequential testing (search for similar items in EconPapers)
JEL-codes: C12 C15 C23 (search for similar items in EconPapers)
Date: 2003-07-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
https://www.qmul.ac.uk/sef/media/econ/research/wor ... 2003/items/wp499.pdf (application/pdf)

Related works:
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:qmw:qmwecw:499

Access Statistics for this paper

More papers in Working Papers from Queen Mary University of London, School of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Nicholas Owen ( this e-mail address is bad, please contact ).