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.
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.
Hsiao, C. (2014), "Panel Macroeconometric Modeling This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics.
This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics.
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