USC Dornsife Institute for New Economic Thinking Working Paper No. 14-02 Panel Macroeconometric Modeling

USC Dornsife Institute for New Economic Thinking Working Paper No. 15-03 Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects

In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true number of factors in the data we establish the limiting distribution of the LS estimator for the regression coefficients, as the number of time periods and ...

Macroeconometric Policy Modeling for India: A Review of Some Analytical Issues

This is the revised version of a paper presented to the National Seminar on Macroeconometric Modeling for Planning in India at the Development Planning Centre, Institute of Economic Growth in November 1998. I am indebted to Professor K. Krishnamurty for several useful discussions I have had with him. Comments and suggestions by Professor B.B. Bhattacharya, Professor Pravin Visaria and other par...

Dynamic Linear Panel Regression Models with Interactive Fixed Effects

In the last step we used Assumption ID(ii). Because E [ Tr (e′e) ∣∣∣λ0, f , w] is independent of β, λ, f , we find minimizing Q(β, λ, f) is equivalent to minimizing Q∗(β, λ, f). We decompose ‡Department of Economics and USC Dornsife INET, University of Southern California, Los Angeles, CA 90089-0253. Email: [email protected]. Department of Economics, Yonsei University, Seoul, Korea. §Department of ...

Panel Macroeconometric Modeling∗

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) statist...

Economic Policy Analysis in a Macroeconometric Model for Iran