Econometric Analysis of Panel Data Portland State University面板数据的计量经济学分析波特兰州立大学.pptVIP

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Econometric Analysis of Panel Data Portland State University面板数据的计量经济学分析波特兰州立大学.ppt

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Econometric Analysis of Panel Data Fixed Effects and Random Effects: Extensions Time-invariant Variables Two-way Effects Nested Random Effects Time Invariant Variables The Model Fixed Effects b2 can not be identified, thus the individual effects ui can not be estimated. Time Invariant Variables Fixed Effects: Two-Step Approach Time Invariant Variables Random Effects Mundlak’s Approach Estimate random effects model including group means: Example: Returns to Schooling Cornwell and Rupert Model (1988) Data (575 individuals over 7 ears) Dependent Variable yit: LWAGE = log of wage Explanatory Variables xit: Time-Variant Variables x1it: EXP = work experienceWKS = weeks workedOCC = occupation, 1 if blue collar, IND = 1 if manufacturing industrySOUTH = 1 if resides in southSMSA = 1 if resides in a city (SMSA)MS = 1 if marriedUNION = 1 if wage set by union contract Time-Invariant Variables x2i: ED = years of educationFEM = 1 if femaleBLK = 1 if individual is black Two Way Effects The Model Assumptions Two-Way Effects Dummy Variable Representation Two-Way Effects Using one-way fixed effects or random effects model to estimate the dummy variable representation of two-way effects model. Two-Way Effects Two-Way Fixed Effects Model Between Estimator Within Estimator (Group Means Deviations) Two-Way Effects Two-Way Fixed Effects Model OLS Estimated Individual and Time Effects Two-Way Effects Two-Way Random Effects Model Partial Group Means Deviations Two-Way Effects Two-Way Random Effects Model Consistent estimates of qs are derived from: se2 asym. var. of two-way fixed effects model su2 asym. var. of between (individual) effects model or one-way fixed (individual) effects model sv2 asym. var. of between (time) effects model or one-way fixed (time) effects model For improved efficiency, iterate the consistent estimation until convergence. Nested Random Effects Three-Level Model Assumptions Each successive component of error term is imbedded or ne