Robertson, Donald and Symons, James (1991) Some strange properties of panel data estimators. CEP discussion paper (44). London School of Economics and Political Science. Centre for Economic Performance, London, UK.
Full text not available from this repository.Abstract
We study the biases that are likely to arise in practice with panel data when parameters vary across individuals, but this is not allowed for in estimation. We consider both stationary and non-stationary regressors. We find that biases can be severe for relatively small parameter variation, and that this problem is hard to detect. We study in some detail by Monte Carlo the performance of the Anderson-Hsiao estimator in the presence of this particular mis-specification.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://cep.lse.ac.uk |
| Additional Information: | © 1991 The Authors |
| Divisions: | Centre for Economic Performance |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 21 Aug 2008 13:42 |
| Last Modified: | 13 Sep 2024 19:32 |
| URI: | http://eprints.lse.ac.uk/id/eprint/21092 |
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