Linear fixed-effects estimation with non-repeated outcomes

Arbeitspapier

This paper demonstrates that popular linear fixed-effects panel-data estimators are biased and inconsistent when applied in a discrete-time hazard setting - that is, one in which the outcome variable is a binary dummy indicating an absorbing state, even if the data-generating process is fully consistent with the linear discrete-time hazard model. In addition to conventional survival bias, these estimators suffer from another source of - frequently severe - bias that originates from the data transformation itself and, unlike survival bias, is present even in the absence of any unobserved heterogeneity. We suggest an alternative estimation strategy, which is instrumental variables estimation using first-differences of the exogenous variables as instruments for their levels. Monte Carlo simulations and an empirical application substantiate our theoretical results.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: FAU Discussion Papers in Economics ; No. 03/2021

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities ; Duration Analysis; Optimal Timing Strategies
• Thema: linear probability model ; individual fixed effects ; discrete-time hazard ; absorbing state ; survival bias ; instrumental variables estimation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Farbmacher, Helmut ; Tauchmann, Harald
• Ereignis: Veröffentlichung
• (wer): Friedrich-Alexander-Universität Erlangen-Nürnberg, Institute for Economics
• (wo): Nürnberg
• (wann): 2021

Weitere Informationen

• Handle: http://hdl.handle.net/10419/238191
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ