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Some strange properties of panel data estimators

By Donald Robertson and James Symons

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

Topics: HB Economic Theory
Publisher: Centre for Economic Performance, London School of Economics and Political Science
Year: 1991
OAI identifier: oai:eprints.lse.ac.uk:21092
Provided by: LSE Research Online
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