格林 面板数据讲义-4.pptVIP

Econometric Analysis of Panel Data Econometric Analysis of Panel Data 4. Fixed Effects Estimation with Fixed Effects The fixed effects model ci is arbitrarily correlated with xit but E[εit|Xi,ci]=0 Dummy variable representation Assumptions for the FE Model Useful Analysis of Variance Notation Baltagi and Griffin’s Gasoline Data Analysis of Variance Analysis of Variance Estimating the Fixed Effects Model The FEM is a plain vanilla regression model but with many independent variables Least squares is unbiased, consistent, efficient, but inconvenient if N is large. Fixed Effects Estimator (cont.) The Within Transformation Removes the Effects Least Squares Dummy Variable Estimator b is obtained by ‘within’ groups least squares (group mean deviations) Normal equations for a are D’Xb+D’Da=D’y a = (D’D)-1D’(y – Xb) Inference About OLS Assume strict exogeneity: Cov[εit,(xjs,cj)]=0. Every disturbance in every period for each person is uncorrelated with variables and effects for every person and across periods. Now, it’s just least squares in a classical linear regression model. Asy.Var[b] = Application Cornwell and Rupert LSDV Results The Effect of the Effects On Computation “Sometimes it is useful to obtain the even when the (dummy variable) regression is infeasible.” (W: p. 273) It is never infeasible. The degrees of freedom correction must include the constants (N of them). The Estimated Fixed Effects Kernel Density Estimator Examining the Effects with a KDE Histogram vs. KDE How To Robustness of the LSDV Estimator Under the full Gauss-Markov assumptions, b is unbiased and consistent (and even efficient). If Var[εi] = Ωi ≠?ε2ITi then b is consistent but inefficient. (We’ll return to robust estimation below.) Under all assumptions, Var[ai] is O(1/Ti). ai is unbiased but inconsistent. Inconsistent not because it estimates the wrong parameter, but because it converges to a random variable, not a constant. Ti is not incre