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A Comparison of Covariance Estimators for Complete and Incomplete Panel Data Models

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  • Chowdhury, Gopa

Abstract

A fixed effects panel model with randomly missing data is considered. The incomplete data are characterized as a set of blocks of complete data. A covariance (CV) estimator for the incomplete data is developed. It is a linear combination of the CB estimators of each of the complete blocks, with weights inversely proportional to their respective variances. It is efficient relative to several possible complete data CV estimators which can be used on the truncated data. Efficiency comparisons are also made between the selection of complete data CV estimators. The asymptotic behavior of the incomplete data CV estimator is investigated using two possible characterizations of a large sample; first, the number of individuals increasing in each block of fixed time dimension, and second, the number of blocks increasing with the time and cross-section dimensions fixed in each block. The incomplete data CV estimator is extended to allow for fixed time effects. Copyright 1991 by Blackwell Publishing Ltd

Suggested Citation

  • Chowdhury, Gopa, 1991. "A Comparison of Covariance Estimators for Complete and Incomplete Panel Data Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(1), pages 83-93, February.
    • Handle: RePEc:bla:obuest:v:53:y:1991:i:1:p:83-93
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    Cited by:

    1. Wu, Jianhong & Li, Guodong & Xia, Qiang, 2018. "Moment-based tests for random effects in the two-way error component model with unbalanced panels," Economic Modelling, Elsevier, vol. 74(C), pages 61-76.
    2. Verbeek, M.J.C.M. & Nijman, T.E., 1992. "Incomplete panels and selection bias : A survey," Discussion Paper 1992-7, Tilburg University, Center for Economic Research.
    3. Verbeek, M.J.C.M. & Nijman, T.E., 1993. "Incomplete panels and selection bias : A survey," Other publications TiSEM 08061352-957b-4f56-b303-9, Tilburg University, School of Economics and Management.
    4. Verbeek, M.J.C.M. & Nijman, T.E., 1992. "Incomplete panels and selection bias : A survey," Other publications TiSEM 65401dae-613b-4e10-a8ae-c, Tilburg University, School of Economics and Management.

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