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Misspecified heterogeneity in panel data models

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Abstract

In this paper we analyse systematically through Monte Carlo simulations the consequences of misspecified heterogeneity on the most popular linear panel data models. We also illustrate our findings, through the estimation of a well known investment demand model.

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Authors and Affiliations

  1. Department of Econometrics, Monash University, 3168, Monash, Australia

    Lázló Mátyás

  2. Université Paris XII, F-94210, La Varenne St. Hilaire, France

    Pierre Blanchard

Authors
  1. Lázló Mátyás
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  2. Pierre Blanchard
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Mátyás, L., Blanchard, P. Misspecified heterogeneity in panel data models. Statistical Papers 39, 1–27 (1998). https://doi.org/10.1007/BF02925369

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  • DOI: https://doi.org/10.1007/BF02925369

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