One size does not fit all... : Panel data : Bayesian model averaging and data poolability

Desbordes, Rodolphe and Koop, Gary and Vicard, Vincent (2018) One size does not fit all... : Panel data : Bayesian model averaging and data poolability. Economic Modelling, 75. pp. 364-376. ISSN 0264-9993 (https://doi.org/10.1016/j.econmod.2018.07.009)

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Abstract

We show in this paper why researchers ought to pay particular attention to the issues of model uncertainty, data poolability, and country heterogeneity in their panel data applications. We focus on the identification of robust determinants of current account balances (CABs). Applying Bayesian Model Averaging, we adopt a flexible modelling approach to highlight that (i) many determinants have limited relevance when accounting for model uncertainty; (ii) OECD and non-OECD countries cannot be pooled together when accounting for slope heterogeneity; iii) cross-sectional and time-series relationships can diverge. Using a novel approach which allows us to control for country fixed effects in a cross-sectional setting, we demonstrate that this last finding is the outcome of substantial unobserved country heterogeneity and not diverging responses across time horizons. Our methodologies offer direct solutions to the issues raised in this paper and have broad applications.

ORCID iDs

Desbordes, Rodolphe ORCID logoORCID: https://orcid.org/0000-0001-8923-5401, Koop, Gary ORCID logoORCID: https://orcid.org/0000-0002-6091-378X and Vicard, Vincent;
  • Item type:Article
    ID code:64764
    Dates:
    Date
    Event
    1 November 2018
    Published
    31 July 2018
    Published Online
    9 July 2018
    Accepted
    9 January 2018
    Submitted
    Notes:© 2018 Elsevier B.V. All rights reserved. Rodolphe Desbordes, Gary Koop, Vincent Vicard, One size does not fit all… panel data: Bayesian model averaging and data poolability, Economic Modelling, Volume 75, 2018, Pages 364-376, https://doi.org/10.1016/j.econmod.2018.07.009
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:10 Jul 2018 14:50
    Last modified:24 Nov 2024 01:15
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/64764
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