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dc.contributor.authorChudik, Alexanderen
dc.contributor.authorMohaddes, Kamiaren
dc.contributor.authorPesaran, M Hashemen
dc.contributor.authorRaissi, Mehdien
dc.date.accessioned2016-03-07T11:36:45Z
dc.date.available2016-03-07T11:36:45Z
dc.date.issued2016en
dc.identifier.citationAdvances in Econometrics 2016en
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/254194
dc.description.abstractThis paper develops a cross-sectionally augmented distributed lag (CS-DL) approach to the estimation of long-run effects in large dynamic heterogeneous panel data models with cross-sectionally dependent errors. The asymptotic distribution of the CS-DL estimator is derived under coefficient heterogeneity in the case where the time dimension (T) and the cross-section dimension (N) are both large. The CS-DL approach is compared with more standard panel data estimators that are based on autoregressive distributed lag (ARDL) specifications. It is shown that unlike the ARDL type estimator, the CS-DL estimator is robust to misspecification of dynamics and error serial correlation. The theoretical results are illustrated with small sample evidence obtained by means of Monte Carlo simulations, which suggest that the performance of the CS-DL approach is often superior to the alternative panel ARDL estimates, particularly when T is not too large and lies in the range of 30 to 50. Keywords: Long-run relationships, estimation and inference, panel distributed lags, large dynamic heterogeneous panels, cross-section dependence.en
dc.language.isoenen
dc.publisherEmerald Group Publishing Ltd.en
dc.subjectlong-run relationshipsen
dc.subjectestimation and inferenceen
dc.subjectpanel distributed lagsen
dc.subjectlarge dynamic heterogeneous panelsen
dc.subjectcross-section dependenceen
dc.titleLong-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errorsen
dc.typeBook chapter
dc.provenanceOA-7412
prism.publicationDate2016en
dc.rioxxterms.funderESRC
dc.rioxxterms.projectidES/I031626/1
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserveden
rioxxterms.licenseref.startdate2016en
dc.contributor.orcidMohaddes, Kamiar [0000-0002-2501-2062]
rioxxterms.typeMonographen
rioxxterms.freetoread.startdate2099-01-01


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