Unobserved heterogeneity in panel time series models
نویسندگان
چکیده
منابع مشابه
Unobserved heterogeneity in panel time series models
Recently, the large T panel literature has emphasized unobserved, time-varying heterogeneity that may stem from omitted common variables or global shocks that a¤ect each individual unit di¤erently. These latent common factors induce cross-section dependence and may lead to inconsistent regression coe¢ cient estimates if they are correlated with the explanatory variables. Moreover, if the proces...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2006
ISSN: 0167-9473
DOI: 10.1016/j.csda.2004.12.015