On the degree of homogeneity in dynamic heterogeneous panel data models

Christian Offermanns

No 2014/25, Discussion Papers from Free University Berlin, School of Business & Economics

Abstract: We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing approaches to model cross-section homogeneity within such panels. It allows for partial influence of other cross-section units on estimated coefficients, differentiating between short-run and long-run homogeneity, and determines the optimal degree of such homogeneity. The issue of cross-section homogeneity emerges as a special case of categorical conditioning. Applying our model to equilibrium exchange rate determination in a cross-country panel, we find evidence of largely heterogeneous adjustment and more homogeneous long-run coefficients across countries. The coefficient heterogeneity appears largely idiosyncratic and is not captured by simple categorizations like exchange rate regime classification.

Keywords: dynamic panel data models; coefficient homogeneity; non-parametric estimation; equilibrium exchange rates (search for similar items in EconPapers)
JEL-codes: C23 C52 F31 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ecm and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/102731/1/798629053.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:zbw:fubsbe:201425

Access Statistics for this paper

More papers in Discussion Papers from Free University Berlin, School of Business & Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().