کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7347252 1476499 2018 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotic collinearity in CCE estimation of interactive effects models
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Asymptotic collinearity in CCE estimation of interactive effects models
چکیده انگلیسی
Researchers sometime fall into the dummy variable trap. A typical scenario in panel data is when wanting to estimate the effect of a regressor that is time invariant, such as sex or race, and accidentally including cross-section specific fixed effects. The problem here is that the fixed effects and the regressor are collinear, which causes the resulting pooled least squares estimator to break down. In interactive effects models such breakdowns can occur even if the regressors are not time invariant. The reason is that the interactive effects are flexible enough to generate a wide range of behaviours that are likely to be shared by the regressors. The current paper considers the challenging case when some of the regressors are asymptotically collinear with the interactive effects. The relevant asymptotic theory is developed and tested in small samples using both simulated and real data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 70, April 2018, Pages 331-337
نویسندگان
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