Panel Data Analysis with Heterogeneous Dynamics

2018/03/26 by Ryo Okui, Takahide Yanagi, Okui, Ryo +1
Economics, Econometrics and Finance · #Econometrics (econ.EM) #Energy, Environment, Economic Growth #FOS: Economics and business #Monetary Policy and Economic Impact #Spatial and Panel Data Analysis

paper · pdf · doi:10.48550/arxiv.1803.09452

openalex publication_date 2018/03/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the parameters of interest based on their empirical distributions. We then investigate the asymptotic properties of our estimators using double asymptotics and propose split-panel jackknife bias correction and inference based on the cross-sectional bootstrap. We illustrate the usefulness of our procedures by studying the deviation dynamics of the law of one price. Monte Carlo simulations confirm that the proposed bias correction is effective and yields valid inference in small samples.

Citations

• Econometric Analysis of Panel Data
• Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
• Biases in Dynamic Models with Fixed Effects
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure

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