Scandinavian Working Papers in Economics

Memorandum,
Oslo University, Department of Economics

No 19/2016: Panel data estimators and aggregation

Erik Biørn ()
Additional contact information
Erik Biørn: Dept. of Economics, University of Oslo, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway

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

JEL-codes: C13; C23; C43

18 pages, December 17, 2016

Full text files 

memo-19-2016-2.pdf PDF-file

Download statistics

Questions (including download problems) about the papers in this series should be directed to Mari Strønstad Øverås ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:osloec:2016_019This page generated on 2024-09-13 22:16:46.