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Panel Macroeconometric Modeling

This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics.

Essays in Honor of Peter C. B. Phillips

ISBN: 978-1-78441-183-1

ISSN: 0731-9053

Publication date: 21 November 2014

Abstract

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statistical inference for dynamic simultaneous equations models; (iv) policy evaluation; and (v) aggregation and prediction.

Keywords

Acknowledgements

Acknowledgment

This work is partially supported by the China NSF grant #71131008. I would like to thank P. C. B. Phillips and a referee for their helpful comments.

Citation

Hsiao, C. (2014), "Panel Macroeconometric Modeling

This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics.

", Essays in Honor of Peter C. B. Phillips (Advances in Econometrics, Vol. 33), Emerald Group Publishing Limited, Bingley, pp. 205-239. https://doi.org/10.1108/S0731-905320140000033007

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Emerald Group Publishing Limited

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