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New methods to estimate models with large sets of fixed effects with an application to matched employer-employee data from Germany

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  • Mittag, Nikolas

Abstract

"This paper will introduce new methods to estimate the two-way fixed effects model and the match effects model in datasets where the number of fixed effects makes standard estimation techniques infeasible. The methods work for balanced and unbalanced panels and increase the speed of estimation without imposing excessive computational demands. I will apply the methods to a new and unusually detailed matched employer-employee dataset from Germany. The analysis shows that the omission of match effects leads to biased inference particularly concerning the effects of individual characteristics and underlines the importance of accurate biographic data." (Author's abstract, IAB-Doku) ((en)) Additional Information Program files

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File URL: http://doku.iab.de/fdz/reporte/2012/MR_01-12_EN.pdf
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Bibliographic Info

Paper provided by Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany] in its series FDZ Methodenreport with number 201201_en.

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Length: 63 pages
Date of creation: 12 Mar 2012
Date of revision:
Handle: RePEc:iab:iabfme:201201_en

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Related research

Keywords: Arbeitsmarktforschung; IAB-Linked-Employer-Employee-Datensatz; Arbeitsmarktmodell; Schätzung; matching; empirische Forschung; Panel; Berufsverlauf; Längsschnittuntersuchung; Algorithmus;

This paper has been announced in the following NEP Reports:

References

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  1. Woodcock, Simon D., 2008. "Wage differentials in the presence of unobserved worker, firm, and match heterogeneity," Labour Economics, Elsevier, vol. 15(4), pages 771-793, August.
  2. Jeffrey Grogger & Gordon H. Hanson, 2008. "Income Maximization and the Selection and Sorting of International Migrants," NBER Working Papers 13821, National Bureau of Economic Research, Inc.
  3. Jacobebbinghaus, Peter, 2008. "LIAB-Datenhandbuch, Version 3.0," FDZ Datenreport. Documentation on Labour Market Data 200803_de, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  4. Dale T. Mortensen, 1978. "Specific Capital, Bargaining, and Labor Turnover," Discussion Papers 320, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  5. Michael C. Lovell, 1963. "Seasonal Adjustment of Economic Time Series and Multiple Regression," Cowles Foundation Discussion Papers 151, Cowles Foundation for Research in Economics, Yale University.
  6. Abowd, J.M. & Kramarz, F. & Margolis, D.N., 1995. "High-Wage Workers and High-Wage Firms," Cahiers de recherche 9503, Universite de Montreal, Departement de sciences economiques.
  7. Jovanovic, Boyan, 1979. "Firm-specific Capital and Turnover," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1246-60, December.
  8. Martyn Andrews & Thorsten Schank & Richard Upward, 2006. "Practical fixed-effects estimation methods for the three-way error-components model," Stata Journal, StataCorp LP, vol. 6(4), pages 461-481, December.
  9. A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller & Doug Miller, 2009. "Robust Inference with Multi-way Clustering," Working Papers 98, University of California, Davis, Department of Economics.
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  12. Kramarz, Francis & Machin, Stephen & Ouazad, Amine, 2008. "What Makes a Test Score? The Respective Contributions of Pupils, Schools, and Peers in Achievement in English Primary Education," IZA Discussion Papers 3866, Institute for the Study of Labor (IZA).
  13. Davis, Peter, 2002. "Estimating multi-way error components models with unbalanced data structures," Journal of Econometrics, Elsevier, vol. 106(1), pages 67-95, January.
  14. Doug Miller & A. Colin Cameron & Jonah B. Gelbach, 2006. "Bootstrap-Based Improvements for Inference with Clustered Errors," Working Papers 621, University of California, Davis, Department of Economics.
  15. Wansbeek, Tom & Kapteyn, Arie, 1989. "Estimation of the error-components model with incomplete panels," Journal of Econometrics, Elsevier, vol. 41(3), pages 341-361, July.
  16. Topel, Robert H & Ward, Michael P, 1992. "Job Mobility and the Careers of Young Men," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 439-79, May.
  17. John M. Abowd & Robert H. Creecy & Francis Kramarz, 2002. "Computing Person and Firm Effects Using Linked Longitudinal Employer-Employee Data," Longitudinal Employer-Household Dynamics Technical Papers 2002-06, Center for Economic Studies, U.S. Census Bureau.
  18. M. J. Andrews & L. Gill & T. Schank & R. Upward, 2008. "High wage workers and low wage firms: negative assortative matching or limited mobility bias?," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 171(3), pages 673-697.
  19. C. Kirabo Jackson, 2010. "Match Quality, Worker Productivity, and Worker Mobility: Direct Evidence From Teachers," NBER Working Papers 15990, National Bureau of Economic Research, Inc.
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  21. Woodcock, Simon, 2006. "Match Effects," MPRA Paper 154, University Library of Munich, Germany.
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