Asymptotic theory for heterogeneous dynamic pseudo-panels

摘要

Dynamic pseudo-panel models with inter-cohort parameter heterogeneity are studied. The population is divided into cohorts and the cohort sample means are used as a heterogeneous panel. Least squares and instrumental variables estimators are considered. Multidimensional limits are analyzed as the cross-sectional and temporal dimensions of the data pass to infinity, allowing for both stationary and nonstationary cases, Monte-Carlo simulations on the finite-sample performance of the estimatois in thesetwo dimensions are conducted and these, in conjunction with the asymptotic results, are used to make recommendations for practical implementation of the techniques. An empirical illustration finds heterogeneity in consumption growth rates among Taiwanesebirth cohorts.