Pseudo Panel Data Models With Cohort Interactive Effects

Autor:	Artūras Juodis
Přispěvatelé:	Quantitative Economics (ASE, FEB), Faculteit Economie en Bedrijfskunde, UvA-Econometrics (ASE, FEB), Research programme EEF
Jazyk:	angličtina
Rok vydání:	2018
Předmět:	Statistics and Probability Economics and Econometrics Monte Carlo method TIME-SERIES Inference Sample (statistics) 01 natural sciences Cohort interactive effects EFFICIENT ESTIMATION Data modeling 010104 statistics & probability 0502 economics and business Econometrics Economics Weak identification GMM Endogeneity 0101 mathematics ESTIMATORS ERROR 050205 econometrics Labor supply elasticity 05 social sciences Estimator CROSS-SECTIONAL DEPENDENCE Cohort Pseudo panel data INFERENCE DYNAMIC-MODELS Statistics Probability and Uncertainty Social Sciences (miscellaneous) Panel data
Zdroj:	Journal of Business and Economic Statistics, 36(1), 47-61. Taylor and Francis Ltd. Journal of Business & Economic Statistics, 36(1), 47-61. AMER STATISTICAL ASSOC
ISSN:	0735-0015
DOI:	10.1080/07350015.2015.1137759
Popis:	When genuine panel data samples are not available, repeated cross-sectional surveys can be used to form so-called pseudo panels. In this article, we investigate the properties of linear pseudo panel data estimators with fixed number of cohorts and time observations. We extend standard linear pseudo panel data setup to models with factor residuals by adapting the quasi-differencing approach developed for genuine panels. In a Monte Carlo study, we find that the proposed procedure has good finite sample properties in situations with endogeneity, cohort interactive effects, and near nonidentification. Finally, as an illustration the proposed method is applied to data from Ecuador to study labor supply elasticity. Supplementary materials for this article are available online.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0ec1e8210da362c970ec375143775d91 https://doi.org/10.1080/07350015.2015.1137759 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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