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Pré-Publication, Document De Travail Année : 2018

Inference on time-invariant variables using panel data: a pretest estimator

Résumé

This paper proposes a new pretest estimator of panel data models including time-invariant variables based on the Mundlak-Krishnakumar estimator and an "unrestricted" Hausman-Taylor estimator. Furthermore, the paper evaluates the biases of currently used estimators: repeated between, ordinary least squares, two-stage restricted between, Oaxaca-Geisler estimator, fixed effect vector decomposition, and generalized least squares. Some of these may lead to erroneous conclusions regarding the statistical significance of the estimated parameter values of time-invariant variables, especially when time-invariant variables are correlated with the individual effects.
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Dates et versions

halshs-01719835 , version 1 (28-02-2018)
halshs-01719835 , version 2 (27-01-2021)

Identifiants

  • HAL Id : halshs-01719835 , version 1

Citer

Jean-Bernard Chatelain, Kirsten Ralf. Inference on time-invariant variables using panel data: a pretest estimator. 2018. ⟨halshs-01719835v1⟩
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