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Panel Macroeconometric Modeling
id: 2315
Date: 20160221
Times:
Author
Cheng Hsiao
Content
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 overtime. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration;(iii) statistical inference for dynamics imultaneous equations models;(iv) policy evaluation; and (v)aggregation and prediction.
JEL-Codes
C10;C33;C51
Keywords
Panelmacro-modeling;Unitroot; Cointegration;Aggregation;Prediction
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