Applications of the Generalized Regression Model参考.ppt

* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * Panel Data Rotating panels: Spanish household survey Spanish income study (http://www.cemfi.es/~albarran/0008r.pdf) Efficiency analysis: “Efficiency measurement in rotating panel data,” Heshmati, A, Applied Economics, 30, 1998, pp. 919-930 Hierarchical (nested) data sets: Student outcome, by year, district, school, teacher Nested Panel Data Antweiler, W., Nested Random Effects…” Journal of Econometrics, 101, 2001, 295-313 Balanced and Unbalanced Panels Distinction A notation to help with mechanics zi,t, i = 1,…,N; t = 1,…,Ti The role of the assumption Mathematical and notational convenience: Balanced, NT Unbalanced: Is the fixed Ti assumption ever necessary? SUR models. Benefits of Panel Data Time and individual variation in behavior unobservable in cross sections or aggregate time series Observable and unobservable individual heterogeneity Rich hierarchical structures Dynamics in economic behavior Fixed and Random Effects Unobserved individual effects in regression: E[yit | xit, ci] Notation: Linear specification: Fixed Effects: E[ci | Xi ] = g(Xi); effects are correlated with included variables. Common: Cov[xit,ci] ≠0 Random Effects: E[ci | Xi ] = μ; effects are uncorrelated with included variables. If Xi contains a constant term, μ=0 WLOG. Common: Cov[xit,ci] =0, but E[ci | Xi ] = μ is needed for the full model Convenient Notation Fixed Effects Random Effects Individual specific constant terms. Compound (“composed”) disturbance; “error components” Assumptions for Asymptotics Convergence of moments involving cross section Xi. N increasing, T or Ti assumed fixed. “Fixed T asymptotics” (see text, p. 196) Time series characteristics are not relevant (may be nonstationary) If T is also growing, need to treat as multivariate time series. Ranks of matrices. X must have full column rank. (Xi may not, if Ti K.) Strict exogeneity