IDEAS home Printed from https://ideas.repec.org/p/hal/pseptp/halshs-03672612.html

Inference on time-invariant variables using panel data: A pretest estimator

Author

Listed:
  • Jean-Bernard Chatelain

    (PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Kirsten Ralf

    (ESCE – International Business School, INSEEC - Institut des hautes études économiques et commerciales | School of Business and Economics)

Abstract

For static panel data models that include endogenous time-invariant variables correlated with individual effects, exogenous averages over time of time-varying variables can be internal instruments. To pretest their exogeneity, we first estimate a random effects model that includes all averages over time of time-varying variables (Mundlak, 1978; Krishnakumar, 2006). Internal instruments are then selected if their parameter is statistically different from zero (Mundlak, 1978; Hausman and Taylor, 1981). Finally, we estimate a Hausman-Taylor (1981) model using these internal instruments. We then evaluate the biases of currently used alternative estimators in a Monte-Carlo simulation: repeated between, ordinary least squares, two-stage restricted between, Oaxaca-Geisler estimator, fixed effect vector decomposition, and random effects (restricted generalized least squares).

Suggested Citation

  • Jean-Bernard Chatelain & Kirsten Ralf, 2021. "Inference on time-invariant variables using panel data: A pretest estimator," PSE-Ecole d'économie de Paris (Postprint) halshs-03672612, HAL.
    • Handle: RePEc:hal:pseptp:halshs-03672612
    DOI: 10.1016/j.econmod.2021.01.014
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yang, Dianyi & Huang, Leike, 2024. "A Reproduction of "Do Female Officers Police Differently? Evidence from Traffic Stops" (American Journal of Political Science, 2021)," I4R Discussion Paper Series 127, The Institute for Replication (I4R).
    2. Ullah, Inayat & Hussain, Saqib, 2023. "Impact of early access to land record information through digitization: Evidence from Alternate Dispute Resolution Data in Punjab, Pakistan," Land Use Policy, Elsevier, vol. 134(C).
    3. Barkley, Andrew, . "Regional Spillovers in Wheat Variety Selection: Kansas Wheat Breeding and Variety Adoption," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 50(3).
    4. Oscar Díaz Olariaga & Carlos Alonso‐Malaver, 2022. "Impact of airport policies on regional development. Evidence from the Colombian case," Regional Science Policy & Practice, Wiley Blackwell, vol. 14(6), pages 185-210, December.
    5. Chiara Burlina & Andrés Rodríguez-Pose, 2023. "Alone and lonely. The economic cost of solitude for regions in Europe," Environment and Planning A, , vol. 55(8), pages 2067-2087, November.
    6. Anti, Sebastian & Zhang, Zhihui, 2023. "Roads, women’s employment, and gender equity: Evidence from Cambodia," World Development, Elsevier, vol. 171(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:pseptp:halshs-03672612. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Caroline Bauer (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.