Inference on time-invariant variables using panel data: A pretest estimator
Jean-Bernard Chatelain
(1, 2)
,
Kirsten Ralf
(3, 4)
Jean-Bernard Chatelain
- Fonction : Auteur
- PersonId : 8315
- IdHAL : jean-bernard-chatelain
- ORCID : 0000-0001-7768-9369
- IdRef : 137447256
Résumé
For static panel data models that include endogenous time-invariant variables correlated with individual effects, exogenous averages over time of time-varying variables can be internal instruments. To pretest their exogeneity, we first estimate a random effects model that includes all averages over time of time-varying variables (Mundlak, 1978; Krishnakumar, 2006). Internal instruments are then selected if their parameter is statistically different from zero (Mundlak, 1978; Hausman and Taylor, 1981). Finally, we estimate a Hausman-Taylor (1981) model using these internal instruments. We then evaluate the biases of currently used alternative estimators in a Monte-Carlo simulation: repeated between, ordinary least squares, two-stage restricted between, Oaxaca-Geisler estimator, fixed effect vector decomposition, and random effects (restricted generalized least squares).
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Inference on time-invariant variables using panel data: A pretest estimator
|
Résumé |
en
For static panel data models that include endogenous time-invariant variables correlated with individual effects, exogenous averages over time of time-varying variables can be internal instruments. To pretest their exogeneity, we first estimate a random effects model that includes all averages over time of time-varying variables (Mundlak, 1978; Krishnakumar, 2006). Internal instruments are then selected if their parameter is statistically different from zero (Mundlak, 1978; Hausman and Taylor, 1981). Finally, we estimate a Hausman-Taylor (1981) model using these internal instruments. We then evaluate the biases of currently used alternative estimators in a Monte-Carlo simulation: repeated between, ordinary least squares, two-stage restricted between, Oaxaca-Geisler estimator, fixed effect vector decomposition, and random effects (restricted generalized least squares).
|
Auteur(s) |
Jean-Bernard Chatelain
1, 2
, Kirsten Ralf
3, 4
1
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
2
PJSE -
Paris Jourdan Sciences Economiques
( 578027 )
- 48 boulevard Jourdan 75014 Paris
- France
3
ESCE – International Business School
( 479378 )
- 6 Cours Albert Thomas BP 8242 69355 Lyon Cedex 08 France
- France
4
INSEEC -
Institut des hautes études économiques et commerciales | School of Business and Economics
( 458547 )
- France
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2021-04
|
Public visé |
Scientifique
|
Volume |
97
|
Page/Identifiant |
157-166
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Projet(s) ANR |
|
Mots-clés |
en
Time-invariant variables, Panel data, Pretest estimator, Instrumental variables, Mundlak estimator, Hausman-Taylor estimator
|
DOI | 10.1016/j.econmod.2021.01.014 |
UT key WOS | 000684561700010 |
Loading...