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Pooled Time-Series Cross-Section Estimation

1977; Wiley; Volume: 45; Issue: 6 Linguagem: Inglês

10.2307/1912316

1468-0262

Arthur Havenner, Ronald Herman,

Statistical Methods and Applications

PROGRAMS ARE AVAILABLE to facilitate calculation of least squares and instrumental variable coefficients and related statistics from data consisting of time-series observations for each of several cross-sectional units.' The (FORTRAN) programs2 must be used with the SPEAKEASY/FEDEASY processor3 and take the form of three FEDEASY commands that (1) form a moment (cross product) matrix from an arbitrarily large number of observations (CPMATRIX), (2) calculate least squares and instrumental variable coefficients and attendant statistics for any subset of variables included in the moment matrix (CPOLSQ and CPINST), and (3) decompose a square matrix into two upper triangular factors by a Cholesky decomposition (DECOMPOSE). The presence of these programs in the FEDEASY vocabulary allows users to easily construct, using SPEAKEASY matrix commands, routines appropriate for their particular error covariance assumptions (e.g., hypotheses of nth order autoregression, block diagonality, etc.). In addition, three pooling routines are available both for immediate use and as a guide in coding special applications. The first (KMENTA), described in [2, pp. 508-512], as cross-sectionally heteroskedastic and time-wise autoregressive is a standard block diagonal covariance design that is computable for any number of years and cross-sections. The second (HAVENNER) emphasizes cross-sectional covariances by calculating a full covariance matrix between all cross-sections at each point in time, while assuming first-order autoregression of errors in the same cross-section.4 The third routine (SWAMY) assumes that the coefficients are random and essentially follows the specification in [3, p. 312], except that the equation errors of each cross-sectional unit are assumed first-order autoregressive.4 All three routines are written in the high-level SPEAKEASY/FEDEASY command language and are easily modified to suit particular cases. All have standard options such as residual and moment matrix printing, and the first two have iteration limits, convergence criterion overrides, and restart provisions. The programs are available on request with the SPEAKEASY/FEDEASY System from Stan Cohen, Speakeasy Center, Argonne National Laboratory, Argonne, Illinois 60439 or separately (if the user already has SPEAKEASY/FEDEASY installed) from Ronald Herman, Board of Governors of the Federal Reserve System, Washington, D.C. 20551.