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| Roman Matkovskyy |
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| ''Arbitrary temporal heterogeneity in time of European countries panel model'' |
| ( 2016, Vol. 36 No.1 ) |
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| It considers a panel data model for 24 European countries with unobservable multiple interactive effects, which are correlated with the regressors. Grounded on properties of the traditional micro-economic theory of production, the arbitrary temporal heterogeneity in time with a factor structure is fit to the Cobb-Douglas stochastic distance frontier with multiple inputs/multiple outputs model and a semi-parametric approach is applied to parameters estimation. The results show that heterogeneity over time and across the European countries matters. The model distinguished 5 unobserved factors that influence the European industry production. The unobserved common factors have a cyclical behavior with the approximate length of 2 years. |
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| Keywords: heterogeneity, hidden factors, panel models, principal component analysis |
JEL: C5 - Econometric Modeling: General
A1 - General Economics: General Econ |
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| Manuscript Received : Apr 16 2015 | | Manuscript Accepted : Mar 28 2016 |
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