Panel Macroeconometric Modeling

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and overtime. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration;(iii) statistical inference for dynamics imultaneous equations models;(iv) policy evaluation; and (v)aggregation and prediction.