Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/102731
Authors: 
Offermanns, Christian J.
Year of Publication: 
2014
Series/Report no.: 
Discussion Paper, School of Business & Economics: Economics 2014/25
Abstract: 
We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing approaches to model cross-section homogeneity within such panels. It allows for partial influence of other cross-section units on estimated coefficients, differentiating between short-run and long-run homogeneity, and determines the optimal degree of such homogeneity. The issue of cross-section homogeneity emerges as a special case of categorical conditioning. Applying our model to equilibrium exchange rate determination in a cross-country panel, we find evidence of largely heterogeneous adjustment and more homogeneous long-run coefficients across countries. The coefficient heterogeneity appears largely idiosyncratic and is not captured by simple categorizations like exchange rate regime classification.
Subjects: 
dynamic panel data models
coefficient homogeneity
non-parametric estimation
equilibrium exchange rates
JEL: 
C23
F31
C52
Document Type: 
Working Paper

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