Giovanni Forchini (University of Surrey)

Shocks in Panel Data

Abstract:

Several types of shocks may affect the economy over time, including, among others, macroeconomic, technological, institutional, political, environmental, health, and sociological shocks. It is important for economists to take them into account when modelling economic phenomena and to understand how statistical inference should be changed to account for the shocks. We extend and generalize a model introduced by Andrews (2005), show that at least one consistent estimator exists and derive its asymptotic distribution. Extensions to panel data models with endogeneity are also discussed.