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Pré-Publication, Document De Travail Année : 2021

Inference on time-invariant variables using panel data: a pretest estimator

Résumé

For static panel data models that include endogenous time-invariant variables corre- lated with individual e¤ects, exogenous averages over time of time-varying variables can be internal instruments. To pretest their exogeneity, we .rst estimate a random e¤ects model that includes all averages over time of time-varying variables (Mundlak, 1978; Kr- ishnakumar, 2006). Internal instruments are then selected if their parameter is statistically di¤erent from zero (Mundlak, 1978; Hausman and Taylor, 1981). Finally, we estimate a Hausman-Taylor (1981) model using these internal instruments. We then evaluate the bi- ases of currently used alternative estimators in a Monte-Carlo simulation: repeated between, ordinary least squares, two-stage restricted between, Oaxaca-Geisler estimator, .xed e¤ect vector decomposition, and random e¤ects (restricted generalized least squares).
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Dates et versions

halshs-01719835 , version 1 (28-02-2018)
halshs-01719835 , version 2 (27-01-2021)

Identifiants

  • HAL Id : halshs-01719835 , version 2

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Jean-Bernard Chatelain, Kirsten Ralf. Inference on time-invariant variables using panel data: a pretest estimator. 2021. ⟨halshs-01719835v2⟩
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