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.
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Contributeur : Jean-Bernard Chatelain <>
Soumis le : lundi 14 juin 2010 - 22:32:58
Dernière modification le : mardi 24 avril 2018 - 17:20:14
Document(s) archivé(s) le : mardi 14 septembre 2010 - 20:41:16

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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〉

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