A0172
Title: Robust estimation of long run functions of unknown form in panel time series
Authors: Peter Pedroni - Williams College (United States) [presenting]
Stephan Smeekes - Maastricht University (Netherlands)
Abstract: A new technique is investigated for estimating specialized long run functional relationships. The technique uses polynomial approximations to estimate functions of unknown form. It exploits the structure of unit root panels by decomposing the estimating equations into a set of static linear time series regressions for each unit followed by a set of cross-sectional polynomial regressions for each historical period of observation. We establish asymptotic normality and fast rates of convergence that allow for considerable robustness with respect to temporal and cross-sectional dependency, including common unit root factors. We also investigate the attractive finite sample properties of the technique by Monte Carlo simulation. We offer two illustrations of empirical application, one from the growth literature and one pertaining to the environmental Kuznets curve.
