标题： 动态异质面板中长期关系的合并贝利估计量 显示英文标题

标题： Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels

摘要： 使用Bewley提出的自回归分布滞后模型的转换方法，提出了一种新的混合Bewley（PB）估计量，用于具有异质短期动态的动态面板中的长期系数。PB估计量可以直接与广泛使用的混合均值组（PMG）估计量进行比较，并被证明是一致且渐近正态的。蒙特卡洛模拟显示，与文献中现有的估计量（即PMG、面板动态OLS（PDOLS）和面板完全修正OLS（FMOLS））相比，PB在小样本中表现出良好的性能。还考虑了两种偏差校正方法和对临界值的引导法，以进行对误差交叉依赖性稳健的推断。PB估计量的实用性在一个总体消费函数的实证应用中得到了说明。 显示英文摘要

摘要： Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed. The PB estimator is directly comparable to the widely used Pooled Mean Group (PMG) estimator, and is shown to be consistent and asymptotically normal. Monte Carlo simulations show good small sample performance of PB compared to the existing estimators in the literature, namely PMG, panel dynamic OLS (PDOLS), and panel fully-modified OLS (FMOLS). Application of two bias-correction methods and a bootstrapping of critical values to conduct inference robust to cross-sectional dependence of errors are also considered. The utility of the PB estimator is illustrated in an empirical application to the aggregate consumption function.