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Dynamic Panel Data Models

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Time Series Econometrics

Part of the book series: Springer Texts in Business and Economics ((STBE))

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Abstract

This chapter generalizes most of the topics from earlier in the book settings with panel data. We begin by introducing dynamic panel data models, and how to estimate them using the popular estimators introduced in a series of papers by Arellano, Bond, Blundell and Bover. We then explain how to test for stationarity using the so called “first generation” panel unit root tests; these tests extend the earlier time series tests to panels by retaining the assumption that panels are independent of one another. After this, “scond generation” tests are introduced; these tests can be used in the presence of cross sectional dependence. Finally, we discuss panel VARs, stability, impulse response functions, panel Granger causality, and panel cointegration tests.

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Authors and Affiliations

  1. Loyola University New Orleans, New Orleans, LA, USA

    John D. Levendis

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  1. John D. Levendis
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Levendis, J.D. (2023). Dynamic Panel Data Models. In: Time Series Econometrics. Springer Texts in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-031-37310-7_14

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