Panel data estimators and aggregation
Abstract: For a panel data regression equation with two-way
unobserved heterogeneity, individual-specific and period-specific,
‘within-individual’ and ‘within-period’ estimators, which can be given
Ordinary Least Squares (OLS) or Instrumental Variables (IV)
interpretations, are considered. A class of estimators defined as linear
aggregates of these estimators, is defined. Nine aggregate estimators,
including between, within, and Generalized Least Squares (GLS), are special
cases. Other estimators are shown to be more robust to simultaneity and
measurement error bias than the standard aggregate estimators and more
efficient than the ‘disaggregate’ estimators. Empirical illustrations
relating to manufacturing productivity are given.
Keywords: Panel data; Aggregation; IV estimation; Robustness; Method of moments; Factor productivity; (follow links to similar papers)
JEL-Codes: C13; C23; C43; (follow links to similar papers)
18 pages, December 17, 2016
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