Panel time series: Review of the methodological evolution
Tamara Burdisso
Central Bank of Argentina and Universidad de Buenos Aires
Buenos Aires, Argentina
[email protected]
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Máximo Sangiácomo
Central Bank of Argentina and Universidad Nacional de La Plata
La Plata, Argentina
[email protected]
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Abstract. In this article, we discuss the econometric treatment of macropanels, also
known as panel time series. This new approach rejects the assumption of slope
homogeneity and handles nonstationarity. It also recognizes that cross-section
dependence (that is, some correlation structure in the error term between units
due to unobservable common factors) squanders efficiency gains by operating
with a panel. This approach uses a new set of estimators known in the
literature as the common correlated effect, which essentially consists of
increasing the model to be fit by adding the averages of the individuals in
each time t, of both the dependent variable and the specific regressors
of each individual. We present two commands developed for the evaluation and
treatment of cross-section dependence.
View all articles by these authors:
Tamara Burdisso, Máximo Sangiácomo
View all articles with these keywords:
xtcsi, xtcips, panel time series, time series, cross-section dependence
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