Unobserved heterogeneity in panel time series models

By Jerry Coakley, Ana‐Maria Fuertes, Ron P. Smith. Computational Statistics & Data Analysis, 2006

295 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2deee7d39cc4154c694c7a1c3fc9351f5f577a19

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In Economics and Econometrics

Citations in the corpus

Spatial Panel Econometrics (2008, unknown): “…the data are sufficiently rich (and, typically, in large T contexts), the correlation is determined by the model residuals (for further details, see Driscoll and Kraay, 1998, Coakley et al., 2002, Coakley et al., 2005, Hsiao and Pesaran, 2004, Pesaran, 2005 and Kapetanios and Pesaran, 2005).”
Cross-section dependence in nonstationary panel models: a novel estimator (2009, methodology): “This may be the case here [results for the analysis later published in Coakley et al. (2006)], since some of the applications discussed . . . do not show the same features as the Monte Carlo results.””
Productivity Analysis in Global Manufacturing Production (2010, methodology): “…are jointly non-zero a regression of y on x and N intercepts will be subject to the omitted variable problem and hence misspecified, since regression error terms will be correlated with the regressor, leading to biased estimates and incorrect inference (Coakley et al., 2006; Pesaran, 2006).”
Random Coefficient Models (2008, background): “Examples of studies that have used the residual factor structure to model cross section dependence include Holtz-Eakin, Newey, and Rosen (1988), Ahn, Lee and Schmidt (2001), Coakley, Fuertes and Smith (2005) , Bai and Ng (2004), Kapetanios and Pesaran (2007), Phillips and Sul (2003), Moon and Perro”
Demographic Structure and Macroeconomic Trends (2019, background): “Phillips and Moon (1999) and Coakley, Fuertes, and Smith (2006) suggest that spurious regression may be less of a problem in panels.”
Large Panels with Common Factors and Spatial Correlation (2011, background): “…a variety of situa- tions, such as serial correlation in errors, unit roots in the factors and possible contemporaneous dependence of the observed regressors with the unobserved factors (Coakley, Fuertes, and Smith (2006); Kapetanios and Pesaran (2007); Kapetanios, Pesaran, and Yagamata (2010)).”
Estimating Panel Time-Series Models with Heterogeneous Slopes (2012, methodology): “Using an alternative approach Durlauf et al. (2001) were among the first to emphasise this issue.”
Natural Resources and Economic Development: New Panel Evidence (2015, background): “Coakley et al. (2006) demonstrate, for nonstationary and cross-sectionally dependent data, that MG estimates are severely affected by their failure to account for cross-sectional dependence. To correct this issue, the Common Correlated Effects (CCE) estimator developed by Pesaran (2006) and extended”
The effect of urbanization on CO2 emissions in emerging economies (2014, unknown): “Coakley et al. 2006; Eberhardt and Teal, 2011; Eberhardt et. al., 2013).”
Random Coefficient Panel Data Models (2004, background): “yit = z0it + w 0 it�it + uit; i = 1;:::;N; t = 1;:::;T; ( 13 )”