经管之家App
让优质教育人人可得
立即打开
| 1. INTRODUCTION Recent years have brought increasing interest in dynamic panel data models, where the number of time series observations, T, is relatively large and of the same order of magnitude as N, the number of groups. Such panels arise particularly in cross-country analyses. In most applications of this type, the parameters of interest are the long-run effects and the speed of adjustment to the long run. An example is the large literature on testing purchasing power parity in panels, where according to economic theory the long-run coefficients of the logarithms of domestic prices, foreign prices, and exchange rates should be (1,-1,-1), with the speed of adjustment being of central policy concern. (A recent review of this literature was provided in Rogoff 1996; some of the related econometric issues were discussed in Boyd and Smith 1998.) Another prominent example is the Fisher equation, which postulates a unit coefficient for the long-run effect of (expected) inflation on the nominal rate of interest, but is silent as to the magnitude of the short-run effects of changes in inflation on interest rates. There are two procedures commonly used for such panels. At one extreme, one can estimate separate equations for each group and examine the distribution of the estimated coefficients across groups. Of particular interest will be the mean of the estimates, which we call the mean group (MG) estimator. In earlier work, Pesaran and Smith (1995) we showed that the MG estimator will produce consistent estimates of the average of the parameters. This estimator, however, does not take account of the fact that certain parameters may be the same across groups. At the other extreme are the traditional pooled estimators, such as the fixed and random effects estimators, where the intercepts are allowed to differ across groups while all other coefficients and error variances are constrained to be the same. In this paper, we consider an intermediate estimator, which we call the pooled mean group (PMG) estimator because it involves both pooling and averaging. This estimator allows the intercepts, short-run coefficients, and error variances to differ freely across groups, but constrains the long-run coefficients to be the same. There are often good reasons to expect the long-run equilibrium relationships between variables to be similar across groups, due to budget or solvency constraints, arbitrage conditions, or common technologies influencing all groups m a similar way. The reasons for assuming that short-run dynamics and error variances should be the same tend to be less compelling. Not imposing equality of short-run slope coefficients also allows the dynamic specification (e.g., the number of lags included) to differ across groups. We use two important empirical examples to compare the MG, PMG, and dynamic fixed effect (DFE) estimators. The first is the consumption function in Organization for Economic Cooperation and Development (OECD) countries. Determination of saving rates is an important policy issue and, as with the example of purchasing power parity mentioned earlier, the theory makes strong predictions: The long-run income elasticity of consumption should be unity in all countries, despite their important institutional and cultural differences. Otherwise, national (private) saving rates will be rising or falling indefinitely. The PMG estimator allows us to estimate this common long-run coefficient without making the less plausible assumption of identical dynamics in... |
[此贴子已经被作者于2006-4-30 6:54:49编辑过]
In brief, Pesaran's method allows for a common cointegrating vector and
heterogeneous short-run dynamics. My code command, xtpmg, will estimate
these types of models.
I have a working paper currently being reviewed that details the
methodology.
If anyone is interested in the code and/or paper, feel free to contact
me.
-Ed Blackburne
Inmaculada Martínez-Zarzoso, and Aurelia Bengochea-Morancho
Department of Economics, Universitat Jaume I, 12071, Castellón, Spain
Received 10 February 2003; revised 23 June 2003; accepted 22 July 2003. ; Available online 10 December 2003.
Abstract
We apply the Pooled Mean Group Estimator to test for the existence of an environmental Kuznets curve for CO2 in 22 OECD countries. This approach allows for more flexible assumptions in a panel data framework. The period goes from 1975 to 1998.
Author Keywords: Pooled mean group estimation; Environmental Kuznets curve; CO2 emissions; Kyoto Protocol; OECD
Does Human Capital Matter for Growth in OECD Countries?
Evidence
from Pooled Mean-Group Estimates
ANDREA BASSANINI
Organization for Economic Co-Operation and Development (OECD); EPEE Universit?d' Evry
STEFANO SCARPETTA
World Bank - Social Protection Unit (HDNSP); Institute for the Study of Labor (IZA)
--------------------------------------------------------------------------------
January 2001
OECD Economics Working Paper No. 282
Abstract:
This paper presents empirical estimates of human-capital augmented growth equations for a panel of 21 OECD countries over the period 1971-98. It uses an improved dataset on human capital and a novel econometric technique that reconciles growth model assumptions with the needs of panel data regressions. Unlike several previous studies, our results point to a positive and significant impact of human capital accumulation to output per capita growth. The estimated long-run effect on output of one additional year of education (about 6 percent) is also consistent with microeconomic evidence on the private returns to schooling. We also found a significant growth effect from the accumulation of physical capital and a speed of convergence to the steady state of around 15 percent per year. Taken together these results are not consistent with the human capital augmented version of the Solow model, but rather they support an endogenous growth model a la Uzawa-Lucas, with constant returns to scale to "broad" (human and physical) capital.
Keywords: growth, human capital, panel data
JEL Classifications: O11, O15, O41
[此贴子已经被作者于2006-4-30 6:53:23编辑过]
| Mean group tests for stationarity in heterogeneous panels | |
| Yongcheol Shin and Andy Snell | |
| Summary This paper proposes a panel-based mean group test for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across cross-section units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed test statistic is shown to be distributed as standard normal under the null for large N (number of groups) and large T (number of time periods). Monte Carlo results support the use of joint asymptotic limits (under the further condition that N/T→ 0) as a guide to finite sample performance, but also clearly indicate that the power of our suggested panel-based test is substantially higher than that of the single time-series-based test. |
| The Econometrics Journal Volume 9 Page 123 - March 2006 doi:10.1111/j.1368-423X.2006.00179.x | |
| Volume 9 Issue 1 |
[此贴子已经被作者于2006-4-30 6:32:41编辑过]
Trade Unionism and Growth: A Panel Data Study
Using the recently developed mean group and pooled mean. group estimation techniques on cross-country panel data, the paper offers support to ... Pooled Mean Group (PMG) estimation. These methods are particularly suited to the
[此贴子已经被作者于2006-4-30 6:36:45编辑过]
Structural Policy Reform andExternal Imbalances
relationship between the variables is by using a dynamic fixed effects specification and the Pooled Mean Group ... b) Tests the null of equality of the mean group and pooled mean group estimates. Here the null is accepted, ...
Financial Development, Financial Fragility and Growth
Norman Loayza:World Bank
Romain Rancière: CREI and Universitat Pompeu Fabra
This paper studies the apparent contradiction between two strands of the literature on the effects of financial intermediation on economic activity. On the one hand, the empirical growth literature finds a positive effect of financial depth as measured by, for instance, private domestic credit and liquid liabilities ( e. g., Levine, Loayza, and Beck 2000). On the other hand, the banking and currency crisis literature finds that monetary aggregates, such as domestic credit, are among the best predictors of crises and their related economic downturns ( e. g., Kaminsky and Reinhart 1999). The paper accounts for these contrasting effects based on the distinction between the short- and long- run impacts of financial intermediation. Working with a panel of cross- country and time- series observations, the paper estimates an encompassing model of short- and long- run effects using the Pooled Mean Group estimator developed by Pesaran, Shin, and Smith ( 1999). The conclusion from this analysis is that a positive long- run relationship between financial intermediation and output growth co- exists with a mostly negative short- run relationship. The paper further develops an explanation for these contrasting effects by relating them to recent theoretical models by linking the estimated short- run effects to measures of financial fragility ( namely, banking crises and financial volatility) and by jointly analyzing the effects of financial depth and fragility in classic panel growth regressions.
[此贴子已经被作者于2006-4-30 6:49:42编辑过]
扫码加好友，拉您进群
全部版块
我的主页
收藏
