Hostname: page-component-848d4c4894-p2v8j Total loading time: 0.001 Render date: 2024-05-19T10:40:33.023Z Has data issue: false hasContentIssue false
  • English
  • Français

Estimation of a Panel Data Model in the Presence of Correlation Between Regressors and a Two-Way Error Component

Published online by Cambridge University Press:  11 February 2009

Donald J. Wyhowski
Donald J. Wyhowski
Affiliation:
State University of New York at Albany
Get access Rights & Permissions [Opens in a new window]

Abstract

In this paper, we derive an instrumental variables estimator for the generalized Hausman and Taylor [4] model with a two-way error component. We also extend the work of Breusch, Mizon, and Schmidt [2] to this model and derive two additional instrumental variables estimators. Consistency and asymptotic normality of the parameter estimator is demonstrated, allowing both the number of time periods as well as the number of individuals to increase, their ratio bounded. Consistent estimates of the variance components are discussed.

Type
Articles
Information
Econometric Theory , Volume 10 , Issue 1 , March 1994 , pp. 130 - 139
Copyright
Copyright © Cambridge University Press 1994

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

1.Amemiya, T. & MaCurdy, T.E.. Instrumental-variable estimation of an error-components model. Econometrica 45 (1986): 869–881.CrossRefGoogle Scholar
2.Breusch, T.S., Mizon, G.E. & Schmidt, P.. Efficient estimation using panel data. Econometrica 57 (1989): 695–700.CrossRefGoogle Scholar
3.Fuller, W. & Battese, G.. Transformations for estimation of linear models with error structure. Journal of the American Statistical Association 68 (1973): 626–632.CrossRefGoogle Scholar
4.Hausman, J.A. & Taylor, W.E.. Panel data and unobservable individual effects. Econometrica 49 (1981): 1377–1398.CrossRefGoogle Scholar
5.Judge, G., Hill, C., Griffiths, W., Lee, T. & Lutkepohl, H.. The Theory and Practice of Econometrics. New York: Wiley, 1985.Google Scholar
6.Maddala, G.S.The use of variance components models in pooling cross section and time series data. Econometrica 39 (1971): 341–358.CrossRefGoogle Scholar
7.Mundlak, Y.On the pooling of time series and cross section data. Econometrica 46 (1978): 69–85.CrossRefGoogle Scholar
8.Nerlove, M.A note on error components model. Econometrica 39 (1971): 383–396.CrossRefGoogle Scholar
9.Rao, R.C. & Mitra, S.K.. Generalized Inverse of Matrices and Its Applications. New York: Wiley, 1971.Google Scholar
10.Swamy, P. & Arora, S.. The exact finite sample properties of the estimators of coefficients in the error components regression models. Econometrica 40 (1972): 261–275.CrossRefGoogle Scholar
11.Wallace, T.D. & Hussain, A.. The use of error components models in combining cross section with time series data. Econometrica 37 (1969): 55–72.CrossRefGoogle Scholar
12.White, H.Asymptotic Theory for Econometricians. New York: Academic Press, 1984.Google Scholar