Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097332 | Journal of Econometrics | 2008 | 14 Pages |
Abstract
We provide a set of conditions sufficient for consistency of a general class of fixed effects instrumental variables (FE-IV) estimators in the context of a correlated random coefficient panel data model, where one ignores the presence of individual-specific slopes. We discuss cases where the assumptions are met and violated. Monte Carlo simulations verify that the FE-IV estimator of the population averaged effect performs notably better than other standard estimators, provided a full set of period dummies is included. We also propose a simple test of selection bias in unbalanced panels when we suspect the slopes may vary by individual.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Irina Murtazashvili, Jeffrey M. Wooldridge,