Special Issue "Panel Time Series Methods"

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A special issue of Econometrics (ISSN 2225-1146).

Deadline for manuscript submissions: closed (31 January 2015)

Special Issue Editor

Guest Editor
Prof. Dr. Peter L. Pedroni (Website)

Department of Economics, Williams College, 24 Hopkins Hall Drive, Williamstown, MA 01267, USA
Phone: +1 413 597 2449
Fax: +1 413 597 4045
Interests: panel time series econometrics; nonstationary panel methods; empirical growth; international monetary economics

Special Issue Information

Dear Colleagues,

We are very pleased to announce a new Special Issue for Econometrics on the topic of Panel Time Series Methods, guest edited by Professor Peter Pedroni from Williams College, USA. The Special Issue is open until 31 October 2014. All submitted articles will undergo rigorous peer review, and in the event of acceptance are ensured rapid publication.

Specifically, we would like to draw readers' attention to the feature paper by Professor Pedroni as part of this Special Issue. The paper develops a method for structural VARs in panels with heterogeneous dynamics, and shows how the technique can be used to obtain estimates of median responses to common and idiosyncratic shocks even when the time dimension is short.  It also demonstrates how the panel framework can be exploited to obtain estimates of specific individual member responses to these shocks in cases where the individual time series are too short to allow for conventional VAR methods.

In the spirit of this paper, the special issue will focus broadly on panel time series methods, which have been developed to address the particular challenges posed by panels composed of aggregate level time series data. Central to these challenges is the presence of typically complex, interdependent dynamics, which are presumed to be heterogeneous among the members of the panel.  Examples of these methods include, among others, nonstationary panel methods, panel factor models and panel VAR methods.

Note that Article Processing Charges are fully waived for 2013 and 2014 for publications in Econometrics.

Prof. Dr. Peter L. Pedroni
Guest Editor

Submission

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. Papers will be published continuously (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are refereed through a peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Econometrics is an international peer-reviewed Open Access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. For the first couple of issues the Article Processing Charge (APC) will be waived for well-prepared manuscripts. English correction and/or formatting fees of 250 CHF (Swiss Francs) will be charged in certain cases for those articles accepted for publication that require extensive additional formatting and/or English corrections.

Published Papers (1 paper)

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Research

Open AccessFeature PaperArticle Structural Panel VARs
Econometrics 2013, 1(2), 180-206; doi:10.3390/econometrics1020180
Received: 30 May 2013 / Revised: 6 August 2013 / Accepted: 20 August 2013 / Published: 24 September 2013
Cited by 2 | PDF Full-text (1091 KB) | HTML Full-text | XML Full-text
Abstract
The paper proposes a structural approach to VAR analysis in panels, which takes into account responses to both idiosyncratic and common structural shocks, while permitting full cross member heterogeneity of the response dynamics. In the context of this structural approach, estimation of [...] Read more.
The paper proposes a structural approach to VAR analysis in panels, which takes into account responses to both idiosyncratic and common structural shocks, while permitting full cross member heterogeneity of the response dynamics. In the context of this structural approach, estimation of the loading matrices for the decomposition into idiosyncratic versus common shocks is straightforward and transparent. The method appears to do remarkably well at uncovering the properties of the sample distribution of the underlying structural dynamics, even when the panels are relatively short, as illustrated in Monte Carlo simulations. Finally, these simulations also illustrate that the SVAR panel method can be used to improve inference, not only for properties of the sample distribution, but also for dynamics of individual members of the panel that lack adequate data for a conventional time series SVAR analysis. This is accomplished by using fitted cross sectional regressions of the sample of estimated panel responses to correlated static measures, and using these to interpolate the member-specific dynamics. Full article
(This article belongs to the Special Issue Panel Time Series Methods)

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