Panel Data Analysis with Heterogeneous Dynamics

97 Pages Posted: 24 Nov 2015 Last revised: 16 Jan 2019

See all articles by Ryo Okui

Ryo Okui

Seoul National University

Takahide Yanagi

Kyoto University - Graduate School of Economics

Date Written: January 2019

Abstract

This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the parameters of interest based on their empirical distributions. We then investigate the asymptotic properties of our estimators using double asymptotics and propose split-panel jackknife bias correction and inference based on the cross-sectional bootstrap. We illustrate the usefulness of our procedures by studying the deviation dynamics of the law of one price. Monte Carlo simulations confirm that the proposed bias correction is effective and yields valid inference in small samples.

Keywords: Panel data, heterogeneity, functional central limit theorem, jackknife, bootstrap

JEL Classification: C13, C14, C23

Suggested Citation

Okui, Ryo and Yanagi, Takahide, Panel Data Analysis with Heterogeneous Dynamics (January 2019). Available at SSRN: https://ssrn.com/abstract=2694627 or http://dx.doi.org/10.2139/ssrn.2694627

Ryo Okui (Contact Author)

Seoul National University ( email )

Seoul
Korea, Republic of (South Korea)

Takahide Yanagi

Kyoto University - Graduate School of Economics ( email )

Yoshida Honmachi
Sakyo
Kyoto, Kyoto 6068501
Japan

HOME PAGE: http://https://sites.google.com/view/takahide-yanagi/

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