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Dynamic Panel Data Models with Irregular Spacing: With Applications to Early Childhood Development

Listed author(s):
  • Millimet, Daniel L.

    ()

    (Southern Methodist University)

  • McDonough, Ian K.

    ()

    (University of Nevada, Las Vegas)

With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the properties of various estimators of such models are well known. However, we show that these estimators breakdown when the data are irregularly spaced along the time dimension. Unfortunately, this is an increasingly frequent occurrence as many longitudinal surveys are collected at non-uniform intervals and no solution is currently available when time-varying covariates are included in the model. In this paper, we propose several new estimators for dynamic panel data models when data are irregularly spaced and compare their finite sample performance to the naïve application of existing estimators. We illustrate the practical importance of this issue by turning to two applications on early childhood development.

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File URL: http://ftp.iza.org/dp7359.pdf
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Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 7359.

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Length: 50 pages
Date of creation: Apr 2013
Publication status: published in: Journal of Applied Econometrics, 2017, 32 (4), 725-743
Handle: RePEc:iza:izadps:dp7359
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  1. Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Working Paper 2013/06, Norges Bank.
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