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Estimation of a Panel Data Model in the Presence of Correlation Between Regressors and a Two-Way Error Component

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  • Wyhowski, Donald J.

Abstract

In this paper, we derive an instrumental variables estimator for the generalized Hausman and Taylor [4] model with a two-way error component. We also extend the work of Breusch, Mizon, and Schmidt [2] to this model and derive two additional instrumental variables estimators. Consistency and asymptotic normality of the parameter estimator is demonstrated, allowing both the number of time periods as well as the number of individuals to increase, their ratio bounded. Consistent estimates of the variance components are discussed.

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  • Wyhowski, Donald J., 1994. "Estimation of a Panel Data Model in the Presence of Correlation Between Regressors and a Two-Way Error Component," Econometric Theory, Cambridge University Press, vol. 10(1), pages 130-139, March.
    • Handle: RePEc:cup:etheor:v:10:y:1994:i:01:p:130-139_00
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    Cited by:

    1. Mitch Kunce, 2023. "Political Death Creep: Revisited Using Hausman-Taylor," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 12(1), pages 1-2.
    2. Baltagi, Badi H., 2023. "The two-way Hausman and Taylor estimator," Economics Letters, Elsevier, vol. 228(C).
    3. Frahan, Bruno Henry de & Nkunzimana, Tharcisse & De Blander, Rembert & Gaspart, Frederic & Sumner, Daniel A., 2008. "Farm Household Incomes And Reforming The Cap," 109th Seminar, November 20-21, 2008, Viterbo, Italy 44814, European Association of Agricultural Economists.
    4. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2014. "Panel Data Gravity Models of International Trade," CESifo Working Paper Series 4616, CESifo.

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