Panel Macroeconometric Modeling
39 Pages Posted: 12 Nov 2014
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: Suggested Citation