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Estimation of Panel Data Models with Binary Indicators when Treatment Effects are not Constant over Time

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  • Audrey Laporte
  • Frank Windmeijer

Abstract

We show that two commonly employed estimation procedures to deal with correlated unobserved heterogeneity in panel data models, within-groups and first-differenced OLS, can lead to very different estimates of treatment effects when these are not constant over time and treatment is a state that only changes occasionally. It is therefore important to allow for flexible time varying treatment effects when estimating panel data models with binary indicator variables as is illustrated by an example of the effects of marital status on mental wellbeing.

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File URL: http://www.economics.utoronto.ca/public/workingPapers/UT-ECIPA-LAPORTE-04-01.pdf
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Bibliographic Info

Paper provided by University of Toronto, Department of Economics in its series Working Papers with number laporte-04-01.

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Length: 10 pages
Date of creation: 11 Mar 2005
Date of revision:
Handle: RePEc:tor:tecipa:laporte-04-01

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Keywords: panel data; treatment effects.;

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  1. Katharina Hauck & Nigel Rice, 2004. "A longitudinal analysis of mental health mobility in Britain," Health Economics, John Wiley & Sons, Ltd., vol. 13(10), pages 981-1001.
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