, Maria Persson
(), Stephanie Rubenbauer
and Jan Gertheiss
Wolfgang Hess: Lund University, Postal: Department of Economics and Centre for Economic Demography, Lund, Sweden
Maria Persson: Lund University, Postal: Department of Economics, Lund, Sweden
Stephanie Rubenbauer: Ludwig-Maximilians-Universität Munich, Postal: Department of Statistics, Münich, Germany
Jan Gertheiss: Ludwig-Maximilians-Universität Munich, Postal: Department of Statistics, Münich, Germany
Abstract: When analyzing panel data using regression models, it is often reasonable to allow for time-varying covariate effects. We propose a novel approach to modelling timevarying coefficients in panel data regressions, which is based on penalized regression techniques. To illustrate the usefulness of this approach, we revisit the well-known empirical puzzle of the ‘death of distance’ in international trade. We find significant differences between results obtained with the proposed estimator and those obtained with ‘traditional’ methods. The proposed method can also be used for model selection, and to allow covariate effects to vary over other dimensions than time.
29 pages, March 13, 2013
Full text files
Questions (including download problems) about the papers in this series should be directed to Elisabeth Gustafsson ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2018-01-23 23:34:43.