Briefly describe the key characteristics of a dynamic "macro" panel.
b) Write down the general specification for a dynamic heterogeneous model with dependent variable yit and independent variable xit where the sample dimensions T and N are "large", explaining what large means in this context. Give a specification that focuses on the long-run parameters. Describe and give the justification for some parameter pooling restrictions that may be employed.
c) Describe the mean group (MG) approaches to estimating dynamic heterogeneous panels. How is inference to be conducted?
d) Explain the notion and consequences of cross-sectional dependence (CSD). How may we account for it in estimation?
e) How may we test for the presence of CSD in part (d)? Explain.