Inference on Time-Invariant Variables using Panel Data: A Pre-Test Estimator with an Application to the Returns to Schooling

Abstract : This paper proposes a new pre-test estimator of panel data models including time invariant variables based upon the Mundlak-Krishnakumar estimator and an "unrestricted” Hausman-Taylor estimator. The paper evaluates the biases of currently used restricted estimators, omitting the average-over-time of at least one endogenous time-varying explanatory variable. Repeated Between, Ordinary Least Squares, Two stage restricted Between and Oaxaca-Geisler estimator, Fixed Effect Vector Decomposition, Generalized least squares may lead to wrong conclusions regarding the statistical significance of the estimated parameter values of time-invariant variables.
Complete list of metadatas

Cited literature [30 references]  Display  Hide  Download

https://hal-paris1.archives-ouvertes.fr/hal-00492039
Contributor : Jean-Bernard Chatelain <>
Submitted on : Monday, June 14, 2010 - 10:32:58 PM
Last modification on : Tuesday, September 17, 2019 - 9:47:41 AM
Long-term archiving on : Tuesday, September 14, 2010 - 8:41:16 PM

File

Chatelain_Ralf_Time_Invariant_...
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00492039, version 1

Collections

Citation

Jean-Bernard Chatelain, Kirsten Ralf. Inference on Time-Invariant Variables using Panel Data: A Pre-Test Estimator with an Application to the Returns to Schooling. 2010. ⟨hal-00492039⟩

Share

Metrics

Record views

744

Files downloads

2649