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The Equivalence of Panel Data Estimators under Orthogonal Experimental Design

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Author Info
David Dickinson
Ronald Oaxaca

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Abstract

This paper demonstrates the equivalence between pooled OLS, Fixed Effects, and Random Effects estimates when applied to data generated from an orthogonal experimental design under certain conditions. We show that the point estimates of the treatment effects are identical between these three panel data estimators but that the estimated standard errors differ. Specifically, the estimated variance covariance matrices are identical between FE and RE but differ from that of OLS. Despite the equivalence it is meaningful to test for OLS vs FE/RE because the error distributional assumptions are different.

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Paper provided by Department of Economics, Appalachian State University in its series Working Papers with number 05-07.

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Date of creation: 2005
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Handle: RePEc:apl:wpaper:05-07

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  1. Oaxaca, Ronald L. & Geisler, Iris, 2003. "Fixed effects models with time invariant variables: a theoretical note," Economics Letters, Elsevier, vol. 80(3), pages 373-377, September. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Subhasish Dugar & Todd Sorensen, 2006. "Hassle Costs, Price-Matching Guarantees and Price Competition: An Experiment," Review of Industrial Organization, Springer, vol. 28(4), pages 359-378, June. [Downloadable!] (restricted)
  2. David L. Dickinson & Ronald L. Oaxaca, 2006. "Statistical Discrimination in Labor Markets: An Experimental Analysis," IZA Discussion Papers 2305, Institute for the Study of Labor (IZA). [Downloadable!]
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