gwp 2013
DOI: 10.24149/gwp162
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Debt, Inflation and Growth Robust Estimation of Long-Run Effects in Dynamic Panel Data Models

Abstract: This paper investigates the long-run effects of public debt and inflation on economic growth. Our contribution is both theoretical and empirical. On the theoretical side, we develop a cross-sectionally augmented distributed lag (CS-DL) approach to the estimation of long-run effects in dynamic heterogeneous panel data models with cross-sectionally dependent errors. The relative merits of the CS-DL approach and other existing approaches in the literature are discussed and illustrated with small sample evidence o… Show more

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Cited by 71 publications
(60 citation statements)
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References 36 publications
(47 reference statements)
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“…The presence of heterogeneity does not necessarily mean that there is not additionally an overall effect when that heterogeneity is controlled out (e.g. see Chudik et al, 2013 2 ), but clearly there is strong theoretical and empirical evidence to suggest that the possibility of varying relations between debt and growth is justified.…”
Section: [Figs 2 and 3 About Here]mentioning
confidence: 99%
“…The presence of heterogeneity does not necessarily mean that there is not additionally an overall effect when that heterogeneity is controlled out (e.g. see Chudik et al, 2013 2 ), but clearly there is strong theoretical and empirical evidence to suggest that the possibility of varying relations between debt and growth is justified.…”
Section: [Figs 2 and 3 About Here]mentioning
confidence: 99%
“…See alsoChudik et al (2013Chudik et al ( , 2016Chudik et al ( , 2017 for a discussion of the estimation of long-run or level relationships in economics as well as a discussion of the relative merits of the CS-ARDL approach and other existing approaches in the literature.…”
mentioning
confidence: 99%
“…Even if it is not the most efficient estimator for panels with a short cross-sectional dimension (for instance, the Blundell and Bond (1998) estimator is more efficient), it is the one that had the best fitting and result in the diagnostic tests among the estimators generally used in the literature (Anderson Hsiao 1982, Aurellano Bond 1991, Blundell Bond 1998. Nevertheless, in small samples (with a time dimension shorter than 30 periods) the estimations would be weakly biased (Chudik, Mohaddes, Pesaran and Raissi 2013;Juessen and Linneman 2010;Judson and Owen 1999), that must be taken into account when discussing the results.…”
Section: XIIImentioning
confidence: 99%