Arbeitspapier
Constructing Panel Data Estimators by Aggregation: A General Moment Estimator and a Suggested Synthesis
A regression equation for panel data with two-way random or fixed effects and a set of individual specific and period specific `within individual' and `within period', estimators of its slope coefficients are considered. They can be given Ordinary Least Squares (OLS) or Instrumental Variables (IV) interpretations. A class of estimators, obtained as an arbitrary linear combination of these `disaggregate' estimators, is defined and an expression for its variance-covariance matrix is derived. Nine familiar `aggregate' estimators which utilize the entire data set, including two between, three within, three GLS, as well as the standard OLS, emerge by specific choices of the weights. Other estimators in this class which are more robust to simultaneity and measurement error bias than the standard aggregate estimators and more efficient than the `disaggregate' estimators, are also considered. An empirical illustration of robustness and efficiency, relating to manufacturing productivity, is given.
- Language
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Englisch
- Bibliographic citation
-
Series: Discussion Papers ; No. 420
- Classification
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Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Index Numbers and Aggregation; Leading indicators
- Subject
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Panel data. Aggregation. Simultaneity. Measurement error. Method of moments. Factor productivity
- Event
-
Geistige Schöpfung
- (who)
-
Biørn, Erik
- Event
-
Veröffentlichung
- (who)
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Statistics Norway, Research Department
- (where)
-
Oslo
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Biørn, Erik
- Statistics Norway, Research Department
Time of origin
- 2005
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