Robertson, Donald and Symons, James (1991) Some strange properties of panel data estimators. CEP discussion paper, 44. Centre for Economic Performance, London School of Economics and Political Science, London, UK.Full text not available from this repository.
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)|
|Additional Information:||© 1991 The Authors|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Sets:||Collections > Economists Online
Research centres and groups > Centre for Economic Performance (CEP)
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