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A simple method for estimating unconditional heterogeneity distributions in correlated random effects models

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  • Wooldridge, Jeffrey M.
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    Abstract

    I propose a general, simple approach to recovering an unconditional heterogeneity distribution when a conditional distribution has been estimated. The approach can be applied to cross section models and panel data models-both static and dynamic-with unobserved heterogeneity.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165176511001960
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 113 (2011)
    Issue (Month): 1 (October)
    Pages: 12-15

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    Handle: RePEc:eee:ecolet:v:113:y:2011:i:1:p:12-15

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    Web page: http://www.elsevier.com/locate/ecolet

    Related research

    Keywords: Unobserved heterogeneity Correlated random effects Unconditional distribution Conditional distribution;

    References

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    1. Andrew M. Jones & Stefanie Schurer, 2011. "How does heterogeneity shape the socioeconomic gradient in health satisfaction?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(4), pages 549-579, 06.
    2. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
    3. Jeffrey M. Wooldridge, 2001. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262232197, January.
    4. Richard Blundell & James Powell, 2001. "Endogeneity in semiparametric binary response models," CeMMAP working papers CWP05/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Joseph G. Altonji & Rosa L. Matzkin, 2005. "Cross Section and Panel Data Estimators for Nonseparable Models with Endogenous Regressors," Econometrica, Econometric Society, vol. 73(4), pages 1053-1102, 07.
    6. Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 225-38, January.
    7. Jeffrey M Wooldridge, 2002. "Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity," CeMMAP working papers CWP18/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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