Panel Time Series: Review of the Methodological Evolution

Autores
Burdisso, Tamara; Sangiácomo, Máximo
Año de publicación
2016
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Facultad de Ciencias Económicas
Materia
Ciencias Económicas
st0439
xtcsi
xtcips
panel time series
time series
cross-section dependence
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by-nc-sa/4.0/
Repositorio
SEDICI (UNLP)
Institución
Universidad Nacional de La Plata
OAI Identificador
oai:sedici.unlp.edu.ar:10915/123426
Acceder
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network_name_str SEDICI (UNLP)
spelling Panel Time Series: Review of the Methodological EvolutionBurdisso, TamaraSangiácomo, MáximoCiencias Económicasst0439xtcsixtcipspanel time seriestime seriescross-section dependenceIn 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.Facultad de Ciencias Económicas2016-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticulohttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdf424-442http://sedici.unlp.edu.ar/handle/10915/123426enginfo:eu-repo/semantics/altIdentifier/issn/1536-867Xinfo:eu-repo/semantics/altIdentifier/issn/15368734info:eu-repo/semantics/altIdentifier/doi/10.1177/1536867x1601600210info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-sa/4.0/Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-03T11:01:34Zoai:sedici.unlp.edu.ar:10915/123426Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-03 11:01:35.173SEDICI (UNLP) - Universidad Nacional de La Platafalse
dc.title.none.fl_str_mv Panel Time Series: Review of the Methodological Evolution
title Panel Time Series: Review of the Methodological Evolution
spellingShingle Panel Time Series: Review of the Methodological Evolution
Burdisso, Tamara
Ciencias Económicas
st0439
xtcsi
xtcips
panel time series
time series
cross-section dependence
title_short Panel Time Series: Review of the Methodological Evolution
title_full Panel Time Series: Review of the Methodological Evolution
title_fullStr Panel Time Series: Review of the Methodological Evolution
title_full_unstemmed Panel Time Series: Review of the Methodological Evolution
title_sort Panel Time Series: Review of the Methodological Evolution
dc.creator.none.fl_str_mv Burdisso, Tamara
Sangiácomo, Máximo
author Burdisso, Tamara
author_facet Burdisso, Tamara
Sangiácomo, Máximo
author_role author
author2 Sangiácomo, Máximo
author2_role author
dc.subject.none.fl_str_mv Ciencias Económicas
st0439
xtcsi
xtcips
panel time series
time series
cross-section dependence
topic Ciencias Económicas
st0439
xtcsi
xtcips
panel time series
time series
cross-section dependence
dc.description.none.fl_txt_mv 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.
Facultad de Ciencias Económicas
description 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.
publishDate 2016
dc.date.none.fl_str_mv 2016-06-01
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articulo
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://sedici.unlp.edu.ar/handle/10915/123426
url http://sedici.unlp.edu.ar/handle/10915/123426
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/issn/1536-867X
info:eu-repo/semantics/altIdentifier/issn/15368734
info:eu-repo/semantics/altIdentifier/doi/10.1177/1536867x1601600210
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-sa/4.0/
Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-sa/4.0/
Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)
dc.format.none.fl_str_mv application/pdf
424-442
dc.source.none.fl_str_mv reponame:SEDICI (UNLP)
instname:Universidad Nacional de La Plata
instacron:UNLP
reponame_str SEDICI (UNLP)
collection SEDICI (UNLP)
instname_str Universidad Nacional de La Plata
instacron_str UNLP
institution UNLP
repository.name.fl_str_mv SEDICI (UNLP) - Universidad Nacional de La Plata
repository.mail.fl_str_mv alira@sedici.unlp.edu.ar
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