Title:
PANEL DATA MODELS WITH UNOBSERVABLE INDIVIDUAL EFFECTS AND TIME-INVARIANT REGRESSORS

Authors:
Chung-ki Min

Volume - 2 Issue - 2, Pages - 2582-2589

Abstract:
This study proposes an estimation method for dynamic panel data models which include unobservable individual effects and time-invariant regressors. If the individual effects are also time-invariant as in the fixed-effects models, they are not separable from the time-invariant regressors. For an identification, this study relaxes the individual effects to vary over time. The model is estimated after the quasi-differencing transformation is applied. Empirical results from simulated data herein show that the coefficients for time-invariant regressors can be correctly estimated with the introduction of time-varying individual effects.

Cite this Article:

[Min, Chung-ki. "PANEL DATA MODELS WITH UNOBSERVABLE INDIVIDUAL EFFECTS AND TIME-INVARIANT REGRESSORS." International Journal of Social Science & Economic Research 2.2 (2017): 2582-589.]