Estimating cross-section common stochastic trends in nonstationary panel data

2004 ◽  
Vol 122 (1) ◽  
pp. 137-183 ◽  
Author(s):  
Jushan Bai
Keyword(s):  
Panel Data ◽  
Cross Section ◽  
Stochastic Trends ◽  
Nonstationary Panel Data

scholarly journals Import Flows of Bangladesh: Gravity Model Approach under Panel Data Methodology

2012 ◽  
Vol 60 (2) ◽  
pp. 153-157 ◽  
Author(s):  
Mili Roy ◽  
Md. Israt Rayhan
Keyword(s):  
Panel Data ◽  
Gravity Model ◽  
Cross Section ◽  
Time Series Data ◽  
Random Effect ◽  
Least Square ◽  
Series Data ◽  
Ordinary Least Square ◽  
Extended Gravity ◽  
Trading Partners

In counterpoint to export growth, Bangladesh import growth has remained much less strong, despite impressive progress in import liberalization. This study gives an overview of different methodologies related to gravity model analysis in Bangladesh’s import flow. A pooled cross section and time series data were analyzed to incorporate the country specific heterogeneity in country pair trading partners. The import flows are justified by the basic gravity model since Bangladesh’s imports are positively significant by the economy size and inversely related to trade barrier. Accordingly, we have analyzed pooled ordinary least square, fixed effect, random effect. This study also explores extended gravity model using several variables in the light of gravity model panel data approach. Bangladesh’s import is determined by the home and foreign country’s gross domestic product and exchange rate. In addition, Cross section results show that regional trade arrangement which is South Asian Association for Regional Co-operation and border are significant for Bangladesh’s importimplies that Bangladesh should import more from intra regional country and also should import from India.DOI: http://dx.doi.org/10.3329/dujs.v60i2.11485 Dhaka Univ. J. Sci. 60(2): 153-157, 2012 (July)  

scholarly journals ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA

2000 ◽  
Vol 16 (6) ◽  
pp. 927-997 ◽  
Author(s):  
Hyungsik R. Moon ◽  
Peter C.B. Phillips
Keyword(s):  
Time Series ◽  
Panel Data ◽  
Time Series Data ◽  
Initial Conditions ◽  
Series Data ◽  
Test Statistics ◽  
Rate Condition ◽  
Panel Models ◽  
Stochastic Trends ◽  
Efficient Extraction

Time series data are often well modeled by using the device of an autoregressive root that is local to unity. Unfortunately, the localizing parameter (c) is not consistently estimable using existing time series econometric techniques and the lack of a consistent estimator complicates inference. This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and estimation of the localizing parameter and leads to consistent estimation in simple panel models. However, in the important case of models with concomitant deterministic trends, it is shown that pooled panel estimators of the localizing parameter are asymptotically biased. Some techniques are developed to overcome this difficulty, and consistent estimators of c in the region c < 0 are developed for panel models with deterministic and stochastic trends. A limit distribution theory is also established, and test statistics are constructed for exploring interesting hypotheses, such as the equivalence of local to unity parameters across subgroups of the population. The methods are applied to the empirically important problem of the efficient extraction of deterministic trends. They are also shown to deliver consistent estimates of distancing parameters in nonstationary panel models where the initial conditions are in the distant past. In the development of the asymptotic theory this paper makes use of both sequential and joint limit approaches. An important limitation in the operation of the joint asymptotics that is sometimes needed in our development is the rate condition n/T → 0. So the results in the paper are likely to be most relevant in panels where T is large and n is moderately large.

scholarly journals PERKEMBANGAN INTERMEDIASI BPR DI WILAYAH EKS KARESIDENAN BANYUMAS DAN FAKTOR-FAKTOR YANG MEMENGARUHINYA PERIODE TAHUN 2005-2011

2018 ◽  
Vol 6 (4) ◽  
pp. 52
Author(s):  
Sheila Ardilla Yughi
Keyword(s):  
Time Series ◽  
Panel Data ◽  
Cross Section

ABSTRAKPenelitian ini berjudul “Perkembangan Intermediasi BPR di Wilayah Eks-Karesidenan Banyumas dan Faktor-Faktor yang Memengaruhinya Periode Tahun 2005-2011”. Tujuan dari penelitian ini adalah untuk mengetahui perkembanganan Loan to Deposit Ratio (LDR) pada Bank Perkreditan Rakyat (BPR) di wilayah Eks-Karesidenan Banyumas yang menunjukkan fungsi intermediasi BPR di wilayah Eks-Karesidenan Banyumas, untuk mengetahui pengaruh variabel BI rate, deposito, Produk Domestik Regional Bruto (PDRB), dan Non Performing Loan (NPL) baik secara bersama-sama maupun secara parsial terhadap intermediasi Bank Perkreditan Rakyat (BPR) di wilayah Eks-Karesidean Banyumas, dan untuk mengetahui variabel manakah yang paling berpengaruh besar terhadap intermediasi Bank Perkreditan Rakyat (BPR) di wilayah Eks-Karesidenan Banyumas.Metode penelitian yang digunakan adalah metode analisis kuantitatif menggunakan analisis trend dan analisis regresi non linier berganda data panel. Data yang digunakan merupakan data panel yaitu gabungan dari data time series dan data cross section, dan data yang digunakan merupakan data tahunan dari tahun 2005 sampai dengan tahun 2011 sehingga jumlah data sebanyak 28 pengamatan.Berdasarkan hasil uji regresi analisis data trend, perkembangan intermediasi yang dilihat dari besaran Loan to Deposit Ratio (LDR) menunjukkan perkembangan yang terus meningkat setiap tahunnya dan besaran LDR tersebut rata-rata sebesar 122 persen setiap tahunnya. Sedangkan berdasarkan hasil uji regresi linier berganda pada variabel dependen Loan to Deposit Ratio (LDR) BPR di wilayah Eks-Karesidenan Banyumas dapat diketahui variabel BI rate, deposito, Produk Domestik Regional Bruto (PDRB), dan Non Performing Loan (NPL) secara bersama-sama berpengaruh signifikan terhadap intermediasi BPR di wilayah Eks-Karesidenan Banyumas. Namun, secara parsial hanya variabel PDRB bernilai positif dan signifikan terhadap intermediasi BPR di wilayah Eks-Karesidenan Banyumas,dan variabel deposito berpengaruhsignifikan, namun bernilai negatif terhadap intermediasi BPR di wilayah Eks-Karesidenan Banyumas. Kata Kunci: Intermediasi, BPR, Eks-Karesidenan Banyumas.

scholarly journals Pemodelan Regresi Panel pada Data Pendapatan Asli Daerah (PAD) Terhadap Dana Alokasi Umum (DAU)

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Rezzy Eko Caraka
Keyword(s):  
Time Series ◽  
Panel Data ◽  
Cross Section

Data panel adalah gabungan dari data time series (antar waktu) dan data cross section (antar individu/ ruang). Untuk menggambarkan panel data secara singkat, misalkan pada data cross section, nilai dari satu variabel atau lebih dikumpulkan untuk beberapa unit sampel pada suatu waktu waktu. Dalam panel data, unit cross section yang sama di-survey dalam beberapa waktu.Regresi data panel digunakan untuk menentukan model regresi yang paling sesuai digunakan untuk memodelkan pendapatan asli daerah (PAD) terhadap dana alokasi umum (DAU) untuk tujuh kabupaten/kota provinsi Jawa Tengah anggaran 2008-2010. Model yang dihasilkan dengan REM didapat nilai R2 sebesar 43,8893% Pendapatan Asli Daerah (PAD) dipengaruhi oleh Dana Alokasi Umum (DAU), sedangkan sisanya dipengaruhi oleh faktor lain.

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