A New View on Panel Econometrics: Is Probit Feasible After All?

Arbeitspapier

Mundlak (1978) proposed the addition of time averages to the usual panel equation in order to remove the fixed effects bias. We extend this Mundlak equation further by replacing the time-varying explanatory variables by the corresponding deviations from the averages over time, while keeping the time averages in the equation. It appears that regression on this extended equation provides simultaneously the within and in-between estimator, while the pooled data estimator is a weighted average of the within and in-between estimator. In Section 3 we introduce observed and unobserved fixed effects In Section 4 we demonstrate that in this extended setup Probit estimation on panel data sets does not pose a specific problem. The usual software will do. In Section 5 we give an empirical example.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IZA Discussion Papers ; No. 9345

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
• Thema: panel data estimation techniques ; ordered probit ; fixed effects estimator ; within estimator ; pooled regression ; between estimator

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): van Praag, Bernard M. S.
• Ereignis: Veröffentlichung
• (wer): Institute for the Study of Labor (IZA)
• (wo): Bonn
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/120995
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ