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On the robustness of fixed effects and related estimators in correlated random coefficient panel data models

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  • Jeffrey M. Wooldridge

    (Institute for Fiscal Studies and MSU)

Abstract

I show that a class of fixed effects estimators is reasonably robust for estimating the population-averaged slope coefficients in panel data models with individual-specific slopes, where the slopes are allowed to be correlated with the covariates. In addition to including the usual fixed effects estimator, the results apply to estimators that eliminate individual-specific trends. Further, asymptotic variance matrices are straightforward to estimate. I apply the results, and propose alternative estimators, to estimation of average treatment in a general class of unobserved effects models.

Suggested Citation

  • Jeffrey M. Wooldridge, 2004. "On the robustness of fixed effects and related estimators in correlated random coefficient panel data models," CeMMAP working papers CWP04/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:04/04
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    File URL: http://cemmap.ifs.org.uk/wps/cwp0404.pdf
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    References listed on IDEAS

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