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Pré-publication, Document de travail Economic Modelling Année : 2020

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

Résumé

For panel data models including time-invariant variables, this paper proposes a new Hausman pretest estimator of the internal instruments of Hausman-Taylor estimator. It assumes Mundlak and Krishnakumar linear specification for the endogeneity of random individual effects. Furthermore, the paper evaluates the biases of currently used estimators: repeated between, ordinary least squares, two-stage restricted between, Oaxaca-Geisler estimator, fixed effect vector decomposition, and generalized least squares. Some of these may lead to erroneous conclusions regarding the statistical significance of the estimated parameter values of time-invariant variables, especially when time-invariant variables are correlated with the individual effects.
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Dates et versions

halshs-03059883, version 1 (13-12-2020)

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Jean-Bernard Chatelain, Kirsten Ralf. Inference on time-invariant variables using panel data: a pretest estimator. inPress. ⟨halshs-03059883⟩
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Dernière date de mise à jour le 21/04/2024
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