A Note on Dynamic Modelling from Short and Heterogeneous Pseudo Panels

In: Statistica Neerlandica: journal of the Netherlands Society for Statistics and Operations Research, Band 55, Heft 2, S. 239-248

Abstract

In this paper we note the pitfall of cohort‐aggregated dynamic modelling from short pseudo panels when the slope parameters vary across cohorts, and this is not allowed for in estimation. By contrast, quasi‐differencing across pairs of individuals that belong to the same cohort is shown to help circumvent this problem. Some Monte Carlo simulations are then conducted to assess the relative merits of the two types of estimators under alternative data generating mechanisms.