Panel Macroeconometric Modeling

39 Pages Posted: 12 Nov 2014

See all articles by Cheng Hsiao

Cheng Hsiao

University of Southern California - Department of Economics; National Taiwan University; National Bureau of Economic Research (NBER)

Date Written: September 29, 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: Panel macro-modeling, Unit root, Cointegration, Aggregation, Prediction

JEL Classification: C10, C33, C51

Suggested Citation

Hsiao, Cheng, Panel Macroeconometric Modeling (September 29, 2014). USC-INET Research Paper No. 14-02, Available at SSRN: https://ssrn.com/abstract=2522474 or http://dx.doi.org/10.2139/ssrn.2522474

Cheng Hsiao (Contact Author)

University of Southern California - Department of Economics ( email )

3620 South Vermont Ave. Kaprielian (KAP) Hall, 300
Los Angeles, CA 90089
United States

National Taiwan University

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Taipei, 106
Taiwan

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

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