Handbook of Research Methods and Applications in Empirical Macroeconomics
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Handbook of Research Methods and Applications in Empirical Macroeconomics

Edited by Nigar Hashimzade and Michael A. Thornton

This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading.
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Chapter 10: Dynamic panel data models

Badi H. Baltagi


Many macroeconomic relationships are dynamic in nature in that they include at least one lagged dependent variable among the regressors: yit = _yi, t-1 + xit __+ uit i = 1,. . .,N t = 1,. . .,T (10.1) where _ is a scalar, x_it is 1 _ K and _ is K _ 1. The index i denotes countries, regions, firms, banks, and so on, while the index t denotes time. Some early examples include Islam (1995) on empirical growth models, Attanasio et al. (2000) on the relationship between saving, growth and investment, to mention a few.

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