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A Note on Dynamic Modelling from Short and Heterogeneous Pseudo Panels
Author(s) -
Girma Sourafel
Publication year - 2001
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/1467-9574.00167
Subject(s) - estimator , monte carlo method , contrast (vision) , cohort , statistics , econometrics , computer science , mathematics , artificial intelligence
In this paper we note the pitfall of cohort‐aggregated dynamic modelling from short pseudo panels when the slope parameters vary across cohorts, and this is not allowed for in estimation. By contrast, quasi‐differencing across pairs of individuals that belong to the same cohort is shown to help circumvent this problem. Some Monte Carlo simulations are then conducted to assess the relative merits of the two types of estimators under alternative data generating mechanisms.