AN ALTERNATIVE DERIVATION OF MUNDLAK'S FIXED EFFECTS RESULTS USING SYSTEM ESTIMATION
用系统估计重新推导 Mundlak 的固定效应结果AI 解读 ↓
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用系统估计重新推导 Mundlak 的固定效应结果
- 研究问题
- 在个体效应与解释变量相关的面板模型中，能否用系统估计重新推导固定效应与广义最小二乘的联系及估计等价性？
- 方法与思路
- 作者采用系统估计重新推导 Mundlak 结果，并检验该模型是否满足普通最小二乘与广义最小二乘等价的充要条件。
- 材料陈述的贡献
- 摘要称，系统估计可提供无需分块求逆的替代推导，并证明该模型满足普通最小二乘与广义最小二乘等价的条件。
- 阅读关注点
- 应核对系统方程如何构造、解释变量均值如何进入个体效应表达式，以及固定效应与各类估计等价的具体对象。
- 阅读边界
- 仅据 Crossref 所载摘要；工具变量、动态面板和稳健 Hausman 检验主要作为背景出现，不能据此认定本文另有这些新结果。
原文摘要
Mundlak (1978, Econometrica 46, 69–85) showed that the fixed effects estimator can be obtained as generalized least squares (GLS) for a panel regression model where the individual effects are random but are all hopelessly correlated with the regressors. This result was obtained by partitioned inversion after substituting the reduced form expression for the individual effects as a function of the means of all the regressors. This note shows that Mundlak's result can be obtained using system estimation without using partitioned inversion. System estimation has proved useful for deriving two-stage least squares (2SLS) and three-stage least squares (3SLS) counterparts for the random effects panel models by Baltagi (1981, Journal of Econometrics 17, 189–200). It also has been used for obtaining an alternative derivation of the Hausman tests that is robust to heteroskedasticity of unknown form (see Arellano, 1993, Journal of Econometrics 59, 87–97) and more recently, for obtaining generalized method of moments (GMM) estimators for dynamic panel models (see Arellano and Bover, 1995, Journal of Econometrics 68, 29–51; and Blundell and Bond, 1998, Journal of Econometrics 87, 115–143, to mention a few). We also show that a necessary and sufficient condition for ordinary least squares (OLS) to be equivalent to GLS is satisfied for this model.