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On the robustness of fixed effects and related estimators in correlated random coefficient panel data models

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  • Jeffrey M. Wooldridge

Abstract

I show that a class of fixed effects estimators is reasonably robust for estimating the population-averaged slope coefficients in panel data models with individual-specific slopes, where the slopes are allowed to be correlated with the covariates. In addition to including the usual fixed effects estimator, the results apply to estimators that eliminate individual-specific trends. Further, asymptotic variance matrices are straightforward to estimate. I apply the results, and propose alternative estimators, to estimation of average treatment in a general class of unobserved effects models.

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File URL: http://cemmap.ifs.org.uk/wps/cwp0404.pdf
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Bibliographic Info

Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP04/04.

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Length: 22 pp.
Date of creation: Jun 2004
Date of revision:
Handle: RePEc:ifs:cemmap:04/04

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Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
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Fax: (+44) 020 7323 4780
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Web page: http://cemmap.ifs.org.uk
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Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
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  1. Hahn, Jinyong, 2001. "Comment: Binary Regressors in Nonlinear Panel-Data Models with Fixed Effects," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 16-17, January.
  2. Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 225-38, January.
  3. Hoxby, Caroline Minter, 1996. "How Teachers' Unions Affect Education Production," The Quarterly Journal of Economics, MIT Press, vol. 111(3), pages 671-718, August.
  4. Leslie E. Papke, 1991. "Tax Policy and Urban Development: Evidence From The Indiana Enterprise Zone Program," NBER Working Papers 3945, National Bureau of Economic Research, Inc.
  5. Heckman, J.J. & Hotz, V.J., 1988. "Choosing Among Alternative Nonexperimental Methods For Estimating The Impact Of Social Programs: The Case Of Manpower Training," University of Chicago - Economics Research Center 88-12, Chicago - Economics Research Center.
  6. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
  7. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
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Cited by:
  1. J. Ignacio García-Pérez & Yolanda Rebollo Sanz, 2006. "The use of permanent and temporary jobs across Spanish regions: Do unit labour cost differentials offer an explanation?," Working Papers 06.11, Universidad Pablo de Olavide, Department of Economics.

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