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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.
Cited literature [30 references]
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, March 17, 2020 - 2:04:14 AM
Document(s) archivé(s) le : Tuesday, September 14, 2010 - 8:41:16 PM
Contributor : Jean-Bernard Chatelain <>
Submitted on : Monday, June 14, 2010 - 10:32:58 PM
Last modification on : Tuesday, March 17, 2020 - 2:04:14 AM
Document(s) archivé(s) le : Tuesday, September 14, 2010 - 8:41:16 PM
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