CEU Electronic Theses and Dissertations, 2017
| Author | Balázsi, László |
|---|---|
| Title | The Econometrics of Linear Models for Multi-dimensional Panels |
| Summary | Recent advances in information technology have been constantly bringing down the barriers of collecting and managing data sets with sizes and representativeness unimaginable before. These data sets are typically arranged in the forms of panels, comprising tens of thousands, perhaps millions of entities, observed over a long time span. The new ways of data management, the comprehensive registry of transactions and other activities, and the attempts at the international harmonization of the data lead to the massive presence and direct accessibility of multi-dimensional panels. The econometrics of standard, two-dimensional panel data is well-developed: it has been the subject of practically limitless research in the past fifty-sixty years. As much as efforts devoted to two-dimensional panels are admirable, multi-dimensional panels challenge analysts in several new ways. First, two-way models and toolsets are usually insufficient to fully describe and address problems in this three-dimensional context, where the unobserved heterogeneity can take on several new and interesting forms. Second, various new or existent, but increasingly present, data-related issues emerge, like feasibility of the estimators due to the sheer size of the data, incompleteness of observations, variable index deficiencies, or the large number of economically feasible model specifications. Despite the massive presence of multi-dimensional data sets, the econometrics of three-dimensional panels remains grossly underdeveloped. Luckily, an increasing number of econometricians understand its importance, and aid empiricists with menus of modelling techniques and estimators capable of extracting the excess information embedded in the data. This thesis contributes to the literature by collecting several appealing model formulations, fixed effects, random effects and varying coefficients models, and proposing suitable estimation techniques. The comprehensiveness of the results lies in the diversity of issues discussed (both theoretical and data-related), and the fact that most techniques are feasible in practice and so have a strong potential for empirical use. |
| Supervisor | Matyas, Laszlo |
| Department | Economics PhD |
| Full text | https://www.etd.ceu.edu/2017/balazsi_laszlo.pdf |
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