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Panel data estimators and aggregation

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Abstract

For a panel data regression equation with two-way unobserved heterogeneity, individual-specific and period-specific, ‘within-individual’ and ‘within-period’ estimators, which can be given Ordinary Least Squares (OLS) or Instrumental Variables (IV) interpretations, are considered. A class of estimators defined as linear aggregates of these estimators, is defined. Nine aggregate estimators, including between, within, and Generalized Least Squares (GLS), are special cases. Other estimators are shown to be more robust to simultaneity and measurement error bias than the standard aggregate estimators and more efficient than the ‘disaggregate’ estimators. Empirical illustrations relating to manufacturing productivity are given.

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  • Biørn, Erik, 2016. "Panel data estimators and aggregation," Memorandum 19/2016, Oslo University, Department of Economics.
    • Handle: RePEc:hhs:osloec:2016_019
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    File URL: http://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2016/memo-19-2016-2.pdf
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    1. Fuller, Wayne A. & Battese, George E., 1974. "Estimation of linear models with crossed-error structure," Journal of Econometrics, Elsevier, vol. 2(1), pages 67-78, May.
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    More about this item

    Keywords

    Panel data; Aggregation; IV estimation; Robustness; Method of moments; Factor productivity;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

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