Estimating Autocorrelations in Fixed-Effects Models
AbstractThis paper discusses the estimation of serial correlation in fixed effects models for longitudinal data. Like time series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly used for time series, which are consistent as the length of the time series goes to infinity, are not consistent for a short time series as the size of the cross-section goes to infinity. This form of inconsistency is of particular concern because a short time series of a large cross-section is the typical case in longitudinal data. This paper extends Nickell's method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first-order autocorrelations and to error processes other than first-order autoregressions. The paper also presents statistical tables that facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an alternative method due to MaCurdy. Finally, the paper uses Monte Carlo methods to explore the finite-sample properties of both methods.
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 Princeton University, Department of Economics, Industrial Relations Section. in its series Working Papers with number 540.
Date of creation: Apr 1983
Date of revision:
Contact details of provider:
Postal: Firestone Library, Princeton, New Jersey 08544-2098
Phone: 609 258-4041
Fax: 609 258-2907
Web page: http://www.irs.princeton.edu/
More information through EDIRC
Other versions of this item:
- Gary Solon, 1984. "Estimating Autocorrelations in Fixed-Effects Models," NBER Technical Working Papers 0032, National Bureau of Economic Research, Inc.
- M5 - Business Administration and Business Economics; Marketing; Accounting - - Personnel Economics
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.:
- repec:fth:prinin:133 is not listed on IDEAS
- Bhargava, A & Franzini, L & Narendranathan, W, 1982. "Serial Correlation and the Fixed Effects Model," Review of Economic Studies, Wiley Blackwell, vol. 49(4), pages 533-49, October.
- repec:fth:prinin:155 is not listed on IDEAS
- Lillard, Lee A & Willis, Robert J, 1978.
"Dynamic Aspects of Earning Mobility,"
Econometric Society, vol. 46(5), pages 985-1012, September.
- Stephen Nickell, 1980. "Correcting the Biases in Dynamic Models with Fixed Effects," Working Papers 513, Princeton University, Department of Economics, Industrial Relations Section..
- Orley Ashenfelter & Gary Solon, 1982. "Longitudinal Labor Market Data: Sources, Uses, and Limitations," Working Papers 535, Princeton University, Department of Economics, Industrial Relations Section..
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
- repec:pri:indrel:513 is not listed on IDEAS
- repec:pri:indrel:535 is not listed on IDEAS
- MaCurdy, Thomas E., 1982. "The use of time series processes to model the error structure of earnings in a longitudinal data analysis," Journal of Econometrics, Elsevier, vol. 18(1), pages 83-114, January.
- Mellow, Wesley S, 1981. "Unionism and Wages: A Longitudinal Analysis," The Review of Economics and Statistics, MIT Press, vol. 63(1), pages 43-52, February.
- Cook, Philip J. & Ludwig, Jens, 2006. "The social costs of gun ownership," Journal of Public Economics, Elsevier, vol. 90(1-2), pages 379-391, January.
- Christopher L. Foote, 2007. "Space and time in macroeconomic panel data: young workers and state-level unemployment revisited," Working Papers 07-10, Federal Reserve Bank of Boston.
- Phillip J. Cook & Jens Ludwig, 2004. "The Social Costs of Gun Ownership," NBER Working Papers 10736, National Bureau of Economic Research, Inc.
- Lee, Yoonseok, 2012. "Bias in dynamic panel models under time series misspecification," Journal of Econometrics, Elsevier, vol. 169(1), pages 54-60.
- Gary Solon & Mary Corcoran & Roger H. Gordon & Deborah Laren, 1987. "The Effect of Family Background on Economic Status: A Longitudinal Analysis of Sibling Correlations," NBER Working Papers 2282, National Bureau of Economic Research, Inc.
- Nilsen, Øivind Anti & Vaage, Kjell & Aakvik, Arild & Jacobsen, Karl, 2008. "Estimates of Intergenerational Elasticities Based on Lifetime Earnings," IZA Discussion Papers 3709, Institute for the Study of Labor (IZA).
- Laurence C. Baker, 1995. "HMOs and Fee-For-Service Health Care Expenditures: Evidence from Medicare," NBER Working Papers 5360, National Bureau of Economic Research, Inc.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2002.
"How Much Should We Trust Differences-in-Differences Estimates?,"
NBER Working Papers
8841, National Bureau of Economic Research, Inc.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2004. "How Much Should We Trust Differences-in-Differences Estimates?," The Quarterly Journal of Economics, MIT Press, vol. 119(1), pages 249-275, February.
- Michael Baker & Kevin Milligan, 2005. "How Does Job-Protected Maternity Leave Affect Mothers' Employment and Infant Health?," NBER Working Papers 11135, National Bureau of Economic Research, Inc.
- Hansen, Christian B., 2007. "Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 670-694, October.
- Michael Baker & Emily Hanna & Jasmin Kantarevic, 2003.
"The Married Widow: Marriage Penalties Matter!,"
NBER Working Papers
9782, National Bureau of Economic Research, Inc.
- Atsushi Inoue & Gary Solon, 2005.
"A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models,"
NBER Technical Working Papers
0310, National Bureau of Economic Research, Inc.
- Inoue, Atsushi & Solon, Gary, 2006. "A Portmanteau Test For Serially Correlated Errors In Fixed Effects Models," Econometric Theory, Cambridge University Press, vol. 22(05), pages 835-851, October.
- Baker, Laurence C., 1997. "The effect of HMOs on fee-for-service health care expenditures: Evidence from Medicare," Journal of Health Economics, Elsevier, vol. 16(4), pages 453-481, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David Long).
If references are entirely missing, you can add them using this form.