Efficient Estimation Using Panel Data

Breusch, Trevor; Mizon, Grayham E.; Schmidt, Peter

doi:10.2307/1911060

Cited by 212 publications

(92 citation statements)

References 5 publications

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“…Hausman and Taylor (1981), Amemiya and MaCurdy (1986), and Breusch, Mizon and Schmidt (1989) examine cases in which some time-varying regressors are uncorrelated with individual effects, and propose 2SLS estimation methods using these regressors as instrumental variables. The appropriateness of their methods has been typically tested by a…”

Section: Discussionmentioning

confidence: 99%

A reformulation of the Hausman test for regression models with pooled cross-section-time-series data

Ahn

Low

1996

Journal of Econometrics

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A Hausman test has been typically used to determine the consistency of the GLS estimator in static models with pooled cross-section-time-series data. Based on a GMM approach, we reformulate the Hausman test and find that it incorporates and tests only a limited set of moment restrictions. We also consider an alternative GMM statistic incorporating additional restrictions, which has power toward additional sources of model misspecification. Our Monte Carlo experiments demonstrate that while both the Hausman test and the alternative have good power detecting endogenous regressors, the alternative dominates if coefficients of regressors are nonstationary.

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Section: Discussionmentioning

confidence: 99%

A reformulation of the Hausman test for regression models with pooled cross-section-time-series data

Ahn

Low

1996

Journal of Econometrics

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“…This subject is also discussed in C. Blackorby, et. al., (1978) Hausman and Taylor (1981).^S ee also Breusch, Mizon, and Schmidt (1989). With more than two cities, tests of the instrumental variable assumptions can be done along the different, n ?…”

Section: Introductionmentioning

confidence: 99%

Valuation of New Goods under Perfect and Imperfect Competition

Hausman

1994

489

528

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“…1 0 See Amemiya and MaCurdy (1986) and Breusch et al (1989) for discussion on the choice of instruments for HT estimation.…”

Section: Monte Carlo Simulationmentioning

confidence: 99%

“…Some of these assumptions are relaxed in the subsequent literature, but the main idea that sub-sets of time-varying and time invariant regressors are exogenous is typically maintained. See also Amemiya and MaCurdy (1986), Breusch et al (1989), Im et al (1999) and Baltagi and Bresson (2012).…”

Section: Introductionmentioning

confidence: 98%

Estimation of time-invariant effects in static panel data models

Pesaran

Zhou

2016

Econometric Reviews

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. (2007) and conditions under which the two estimators are equivalent are established. It is also shown that the variance estimator proposed for FEVD estimator is inconsistent and its use could lead to misleading inference. Alternative variance estimators are proposed for both FEF and FEF-IV estimators which are shown to be consistent under fairly general conditions. The small sample properties of the FEF and FEF-IV estimators are investigated by Monte Carlo experiments, and it is shown that FEF has smaller bias and RMSE, unless an intercept is included in the second stage of the FEVD procedure which renders the FEF and FEVD estimators identical. The FEVD procedure, however, results in substantial size distortions since it uses incorrect standard errors. We also compare the FEF-IV estimator with the estimator proposed by Hausman and Taylor (1981), when one of the time-invariant regressors is correlated with the fixed effects. Both FEF and FEF-IV estimators are shown to be robust to error variance heteroskedasticity and residual serial correlation. Terms of use: Documents inJEL-Code: C010, C230, C330.

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Efficient Estimation Using Panel Data

Cited by 212 publications

References 5 publications

A reformulation of the Hausman test for regression models with pooled cross-section-time-series data

A reformulation of the Hausman test for regression models with pooled cross-section-time-series data

Valuation of New Goods under Perfect and Imperfect Competition

Estimation of time-invariant effects in static panel data models

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