Estimation of Average Effects in Short $T$ Heterogeneous Panels
短时间维度异质性面板中的平均效应估计AI 解读 ↓
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短时间维度异质性面板中的平均效应估计AI 解读 ↓
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The commonly used two-way fixed effects estimator is biased under correlated heterogeneity and can lead to misleading inference. The mean group estimator proposed by \cite{PesaranSmith1995} is robust to correlated heterogeneity but requires the individual estimators to have second-order moments that could fail if the number of estimated coefficients ($k$) is close to the time dimension ($T$) of the panel. This paper focuses on panels where $T-k$ is mall (including $T=k$), and proposes a trimmed mean group (TMG) estimator that shrinks individual estimators most likely to fail the second-order moment condition. The TMG estimator is shown to be $n^{(1-α)/2}$-consistent and asymptotically normally distributed, where $α$ is determined by the degree to which individual estimators might not have moments. The $\sqrt{n}$ convergence rate is achieved only if all individual estimators have second-order moments. Extensions to panels with time effects are provided, and a new Hausman test of correlated heterogeneity is proposed. Small sample properties of the TMG estimator (with and without time effects) are investigated by Monte Carlo experiments and shown to be satisfactory. The proposed test of correlated heterogeneity is also shown to have the correct size and satisfactory power. The utility of the TMG approach is illustrated with an empirical application.
面板数据模型中的斜率异质性偏误检验
Standard econometric methods can overlook individual heterogeneity in empirical work, generating inconsistent parameter estimates in panel data models. We propose the use of methods that allow researchers to easily identify, quantify, and address estimation issues arising from individual slope heterogeneity. We first characterize the bias in the standard fixed effects estimator when the true econometric model allows for heterogeneous slope coefficients. We then introduce a…
线性面板数据模型的联合序列相关检验
This paper proposes a joint error serial correlation test to be applied to linear panel data models after generalised method of moments estimation. This new test is an alternative inferential tool to both the m2 test of [Arellano, M., Bond, S., 1991. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies 58, 277-297] and the overidentifying restrictions test. The proposed test, called the test,…
短时间维度面板中的异质自回归
Summary This paper considers a first‐order autoregressive (AR) panel data model with individual‐specific effects and heterogeneous AR coefficients defined on the interval , thus allowing for some of the individual processes to have unit roots. It proposes estimators for the moments of the cross‐sectional distribution of the AR coefficients, assuming a random coefficient model for the AR coefficients without imposing any restrictions on the fixed effects. It is shown that the…
短时间维度面板模型中的异质自回归
This paper considers a first-order autoregressive panel data model with individual-specific effects and heterogeneous autoregressive coefficients defined on the interval (-1,1], thus allowing for some of the individual processes to have unit roots. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive (AR) coefficients, assuming a random coefficient model for the autoregressive coefficients without imposing any restrictions on the…
未观测异质性的 Neyman C(α) 检验
A unified framework is proposed for tests of unobserved heterogeneity in parametric statistic models based on Neyman’s C( α ) approach. Such tests are irregular in the sense that the first order derivative of the log likelihood with respect to the heterogeneity parameter is identically zero, and consequently the conventional Fisher information about the parameter is zero. Nevertheless, local asymptotic optimality of the C( α ) tests can be established via LeCam’s…
面板数据分位数回归的GMM方法
This paper develops a smoothed generalized method of moments (GMM) framework for panel quantile models with individual-specific fixed-effects and endogenous regressors. By smoothing the indicator in the quantile moment conditions and profiling out the individual effects through smoothed individual quantile restrictions, the proposed estimator can be implemented using standard GMM algorithms. We establish consistency, asymptotic normality, and feasible inference under weak…