IV-Schätzung eines linearen Panelmodells mit anonymisierten Betriebs- und Unternehmensdaten
AbstractRecently researchers in Germany were given the opportunity to use some of the business data provided by the Federal Statistical Office at their own workplace as Scientific Use Files (SUF). One of the anonymisation procedures used for the generation of SUF is multiplicative stochastic noise. Since this method leads to inconsistent estimates of linear panel models the use of correction procedures is necessary. This article analyses the instrument variables estimation as a correction method. As instrument variables we test a) a lagged variable, b) the difference between two lagged variables, and c) an anonymised variable from an additional anonymised data set. We conclude that only the last instrument leads to consistent estimators. We also study numerical problems which arise if the denominator of the estimator tends towards zero.
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Bibliographic InfoArticle provided by Duncker & Humblot, Berlin in its journal Schmollers Jahrbuch.
Volume (Year): 130 (2010)
Issue (Month): 3 ()
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Web page: http://www.duncker-humblot.de
Find related papers by JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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