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- W2023871418 abstract "Two different methods for pooling time series of cross section data are used by economists. The first method, described by Kmenta, is based on the idea that pooled time series of cross sections are plagued with both heteroskedasticity and serial correlation.The second method, made popular by Balestra and Nerlove, is based on the error components procedure where the disturbance term is decomposed into a cross-section effect, a time-period effect, and a remainder.Although these two techniques can be easily implemented, they differ in the assumptions imposed on the disturbances and lead to different estimators of the regression coefficients. Not knowing what the true data generating process is, this article compares the performance of these two pooling techniques under two simple setting. The first is when the true disturbances have an error components structure and the second is where they are heteroskedastic and time-wise autocorrelated. First, the strengths and weaknesses of the two techniques are discussed. Next, the loss from applying the wrong estimator is evaluated by means of Monte Carlo experiments. Finally, a Bartletfs test for homoskedasticity and the generalized Durbin-Watson test for serial correlation are recommended for distinguishing between the two error structures underlying the two pooling techniques." @default.
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- W2023871418 date "1986-12-01" @default.
- W2023871418 modified "2023-10-16" @default.
- W2023871418 title "Pooling Under Misspecification: Some Monte Carlo Evidence on the Kmenta and the Error Components Techniques" @default.
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- W2023871418 doi "https://doi.org/10.1017/s0266466600011695" @default.
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