In this post, I will show how to do recursive estimation to determine how robust are your panel estimates to outliers. I saw first time this procedure in Herzer and Nunnenkamp (2013). Basically, if you have a panel of 160 countries, you will determine how change the coefficient estimates and their significance when a certain […]
Category: Panel Data
Mean Group Panel VECM and causality tests
Dear all, This time, I will introduce you a new R package that I have been working on. I created it because since long time ago I was interested in VECM estimation in heterogeneous panels and I was not alone. In general, several researchers have shown their interest in this procedure. To my knowledge, this […]
How to demean your panel data?
When you are working with panel data, many methodologies require your data to be cross-sectionally independent. However, almost always your raw data will have cross sectional dependence. Unfortunately, many packages and procedures for panel data analysis in R, Stata, Eviews and Gretl have not incorporated the option of automatically incorporate the cross sectionally demeaning the […]
Unit root with breaks testing for several time series at once
Dear visitor, If you have not even heard about Gretl. Please don’t panic, I will walk you the way very well. All that fear about a new software will disappear. After all, if you are here maybe it is because many other more popular unit root tests are not suitable for your analysis. For example, […]