On the robustness of fixed effects and related estimators in correlated random coefficient panel data models
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.
|Date of creation:||01 Jun 2004|
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References listed on IDEAS
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"Tax policy and urban development : Evidence from the Indiana enterprise zone program,"
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- Caroline Minter Hoxby, 1996. "How Teachers' Unions Affect Education Production," The Quarterly Journal of Economics, Oxford University Press, vol. 111(3), pages 671-718.
- Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
- Hahn, Jinyong, 2001. "Comment: Binary Regressors in Nonlinear Panel-Data Models with Fixed Effects," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 16-17, January.
- Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
- Gary Chamberlain, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 225-238.
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