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On Efficient Estimation with Panel Data: An Empirical Comparison of Instrumental Variables Estimators

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Baltagi, Badi H
Khanti-Akom, Sophon

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Abstract

This paper attempts a replication of the Cornwell and Rupert (1988) study--hereafter CR. The CR study investigated the efficiency gains in a returns to schooling example by applying alternative sets of instrumental variables estimators for panel data regressions proposed by Hausman and Taylor (1981), Amemiya and MaCurdy (1986), and Breusch, Mizon, and Schmidt (1989). Corrections on the CR data set lead to changes in the legitimate set of instruments, when the time dummies are excluded from the regression, and to much lower empirical gains in efficiency than those reported in CR. If the time dummies are retained in the wage equation, the experience coefficient is not estimable by the within regression, and the empirical gains in efficiency from using the IV procedures are not limited to the time-invariant education coefficient. Copyright 1990 by John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 5 (1990)
Issue (Month): 4 (Oct.-Dec.)
Pages: 401-06
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Handle: RePEc:jae:japmet:v:5:y:1990:i:4:p:401-06

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  2. Rob Simmons & David Forrest & Babatunde Buraimo, 2006. "Robust estimates of the impact of broadcasting on match attendance in football," Working Papers 003093, Lancaster University Management School, Economics Department. [Downloadable!]
  3. Derek Hum & Wayne Simpson, 2002. "Analysis of the Performance of Immigrant Wages Using Panel Data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C2-1, International Conferences on Panel Data. [Downloadable!]
  4. Arcand, Jean-Louis & d'Hombres, Beatrice, 2006. "Testing for Separation in Agricultural Household Models and Unobservable Household-Specific Effects," MPRA Paper 1863, University Library of Munich, Germany. [Downloadable!]
  5. Seung Chan Ahn & Hyungsik Roger Moon, 2001. "Large-N and Large-T Properties of Panel Data Estimators and the Hausman Test," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A6-2, International Conferences on Panel Data. [Downloadable!]
  6. Peter Egger, 2002. "SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B6-3, International Conferences on Panel Data. [Downloadable!]
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  7. Peter Egger & Michael Pfaffermayr, 2004. "Distance, trade and FDI: a Hausman-Taylor SUR approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(2), pages 227-246. [Downloadable!]
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