A quasi-di!erencing approach to dynamic modelling from a time series of independent cross-sections
نویسنده
چکیده
We motivate and describe a GMM method of estimating linear dynamic models from a time series of independent cross-sections. This involves subjecting the model to a quasi-di!erencing transformation across pairs of individuals that belong to the same group. Desirable features of the model include the fact that: (i) no aggregation is involved, (ii) dynamic response parameters can vary across groups, (iii) the presence of unobserved individual speci"c heterogeneity is explicitly allowed for, and (iv) the GMM estimators are derived by realistically assuming group size asymptotics. The Monte Carlo experiments conducted to assess the "nite sample performances of the proposed estimators provide us with encouragement. ( 2000 Elsevier Science S.A. All rights reserved. JEL classixcation: C23
منابع مشابه
Underdifferencing versus Overdifferencing Tests
In the ARIMA modeling of business, ̄nancial, and macroeconomic time series, a very important question consists on the determination of the degree of integration of the data under analysis. There are essentially three di®erent approaches to this problem. In the ̄rst approach, the analyst tests for underdi®erencing, i.e., for the existence of one or more autoregressive unit roots, in order to deci...
متن کاملResidual Based Tests for Cointegration with GLS Detrended Data¤
We propose residual based tests for cointegration using local GLS detrending (Elliott, Rothemberg and Stock, 1996, ERS) applied separately to each variable of the system. We consider two cases, one where only a constant is included and one where a constant and a time trend are included. We derive the asymptotic distribution of a feasible point optimal test which allows us to derive the power en...
متن کاملa Comparison Study Between the Joint Probability Approach and Time Series Rainfall Modelling in Coastal Detention Pond Analysis (RESEARCH NOTE)
In tidally affected coastal catchments detention pond should be provided to store flood surface water. A comparison between the full simulation approach based on the joint probability method and time series rainfall modeling via the annual maximum of pond level was undertaken to investigate the assumptions of independence between variables that are necessary in the joint probability method. The...
متن کاملIdentification and estimation of dynamic models with a time series of repeated cross-sections*
Repeated cross-sectional data contain information on independent cross-sections of individual units at two or more points in time. Estimation of dynamic models with such data is made difficult by the general lack of information on lagged dependent and independent variables and the consequent unobservability of the intertemporal covariances needed to identify and estimate dynamic models. It is d...
متن کاملDynamic characterization and predictability analysis of wind speed and wind power time series in Spain wind farm
The renewable energy resources such as wind power have recently attracted more researchers’ attention. It is mainly due to the aggressive energy consumption, high pollution and cost of fossil fuels. In this era, the future fluctuations of these time series should be predicted to increase the reliability of the power network. In this paper, the dynamic characteristics and short-term predictabili...
متن کامل