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Panel Data


  • Gary Chamberlain


We consider linear predictor definitions of noncausality or strict exogeneity and show that it is restrictive to assert that there exists a time-invariant latent variable c such that x is strictly exogenous conditional on c. A restriction of this sort is necessary to justify standard techniques for controlling for unobserved individual effects. There is a parallel analysis for multivariate probit models, but now the distributional assumption for the individual effects is restrictive. This restriction can be avoided by using a conditional likelihood analysis in a logit model. Some of these ideas are illustrated by estimating union wage effects for a sample of Young Men in the National Longitudinal Survey. The results indicate that the lags and leads could have been generated just by an unobserved individual effect, which gives some support for analysis of covariance-type estimates. These estimates indicate a substantial omitted variable bias. We also present estimates of a model of female labor force participation, focusing on the relationship between participation and fertility. Unlike the wage example, there is evidence against conditional strict exogeneity; if we ignore this evidence, the probit and logit approaches give conflicting results.

Suggested Citation

  • Gary Chamberlain, 1982. "Panel Data," NBER Working Papers 0913, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:0913
    Note: LS

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    References listed on IDEAS

    1. Holbrook, Robert S, 1972. "Optimal Economic Policy and the Problem of Instrument Instability," American Economic Review, American Economic Association, vol. 62(1), pages 57-65, March.
    2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    3. Tobin, James, 1972. "Inflation and Unemployment," American Economic Review, American Economic Association, vol. 62(1), pages 1-18, March.
    4. Kalchbrenner, J H & Tinsley, Peter A, 1976. "On the Use of Feedback Control in the Design of Aggregate Monetary Policy," American Economic Review, American Economic Association, vol. 66(2), pages 349-355, May.
    5. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers 55, Federal Reserve Bank of Minneapolis.
    6. Kareken, John H & Wallace, Neil, 1978. "Deposit Insurance and Bank Regulation: A Partial-Equilibrium Exposition," The Journal of Business, University of Chicago Press, vol. 51(3), pages 413-438, July.
    7. Rockoff, Hugh, 1974. "The Free Banking Era: A Reexamination," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 6(2), pages 141-167, May.
    8. Paul A. Anderson, 1979. "Help for the regional economic forecaster: vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum.
    9. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    10. Robert B. Litterman, 1982. "A use of index models in macroeconomic forecasting," Staff Report 78, Federal Reserve Bank of Minneapolis.
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    Cited by:

    1. Card, David, 1996. "The Effect of Unions on the Structure of Wages: A Longitudinal Analysis," Econometrica, Econometric Society, vol. 64(4), pages 957-979, July.
    2. Liverpool-Tasie, Lenis & Adjognon, Serge & Reardon, Thomas, 2016. "Transformation of the food system in Nigeria and female participation in the Non-Farm Economy (NFE)," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 236284, Agricultural and Applied Economics Association.
    3. Ashenfelter, Orley & Card, David, 1985. "Using the Longitudinal Structure of Earnings to Estimate the Effect of Training Programs," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 648-660, November.
    4. repec:eee:labchp:v:2:y:1986:i:c:p:1183-1217 is not listed on IDEAS
    5. Jerry A. Hausman & Bart D. Ostro & David A. Wise, 1984. "Air Pollution and Lost Work," NBER Working Papers 1263, National Bureau of Economic Research, Inc.
    6. Anna Giraldo & Enrico Rettore & Ugo Trivellato, 2002. "The persistence of poverty: true state dependence or unobserved heterogeneity? Some evidence from the Italian Survey on Household Income and Wealth," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B2-1, International Conferences on Panel Data.
    7. Nisar Ahmad, 2014. "State Dependence in Unemployment," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 93-106.

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