Abstract
Empirical growth analysis is plagued with three problems – variable selection, parameter heterogeneity and cross-sectional dependence – which are addressed independently from each other in most studies. This study is to propose an integrated framework that allows for parameter heterogeneity and cross-sectional error dependence, while simultaneously performing variable selection. We derive the asymptotic properties of the estimator, and apply the framework to a dataset of 89 countries over the period from 1960 to 2014. Our results support the “optimistic” conclusion of Sala-I-Martin (1997), and also reveal some cross-country patterns not found previously.
Original language | English |
---|---|
Pages (from-to) | 379-397 |
Number of pages | 19 |
Journal | Journal of Econometrics |
Volume | 228 |
Issue number | 2 |
DOIs | |
Publication status | Published - Jun 2022 |
Keywords
- Cross-sectional dependence
- Growth regressions
- Parameter heterogeneity
- Variable selection