Comparing Fixed Effects and Covariance Structure Estimators
AbstractIn this paper we compare the traditional econometric fixed effect/first difference estimator with the maximum likelihood estimator implied by covariance structure models for panel data. Our findings are that the maximum likelihood estimator is remarkable robust to mis-specifications, however in general the fixed estimator is preferable in small samples. Furthermore, we argue that we can use the Hausman test as a test of consistency of the maximum likelihood estimator. Finally we show that the covariance structure models is not identified in the case of time-invariant independent variables.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics in its series CAM Working Papers with number 2004-02.
Length: 17 pages
Date of creation: Jan 2004
Date of revision:
Contact details of provider:
Postal: Øster Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark
Phone: (45) 35 32 30 74
Fax: +45 35 32 30 00
Web page: http://www.econ.ku.dk/CAM/
More information through EDIRC
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Anders Holm & Mads Meier Jæger & Morten Pedersen, 2008. "Unobserved Heterogeneity in the Binary Logit Model with Cross-Sectional Data and Short Panels: A Finite Mixture Approach," CAM Working Papers 2009-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Hoffmann).
If references are entirely missing, you can add them using this form.