Panel Data Estimation for Correlated Random Coefficients Models
This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly focus on comparing two approaches of estimating unconditional mean of the coefficients for the correlated random coefficients models, the group mean estimator and the generalized least...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-02-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/7/1/7 |
| _version_ | 1811187321494568960 |
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| author | Cheng Hsiao Qi Li Zhongwen Liang Wei Xie |
| author_facet | Cheng Hsiao Qi Li Zhongwen Liang Wei Xie |
| author_sort | Cheng Hsiao |
| collection | DOAJ |
| description | This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly focus on comparing two approaches of estimating unconditional mean of the coefficients for the correlated random coefficients models, the group mean estimator and the generalized least squares estimator. For the group mean estimator, we show that it achieves Chamberlain (1992) semi-parametric efficiency bound asymptotically. For the generalized least squares estimator, we show that when <i>T</i> is large, a generalized least squares estimator that ignores the correlation between the individual coefficients and regressors is asymptotically equivalent to the group mean estimator. In addition, we give conditions where the standard within estimator of the mean of the coefficients is consistent. Moreover, with additional assumptions on the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used to examine the finite sample performances of different estimators. |
| first_indexed | 2024-04-11T14:00:12Z |
| format | Article |
| id | doaj.art-3d898dc0449241db89a01d6882779545 |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-04-11T14:00:12Z |
| publishDate | 2019-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-3d898dc0449241db89a01d68827795452022-12-22T04:20:08ZengMDPI AGEconometrics2225-11462019-02-0171710.3390/econometrics7010007econometrics7010007Panel Data Estimation for Correlated Random Coefficients ModelsCheng Hsiao0Qi Li1Zhongwen Liang2Wei Xie3Department of Economics, University of Southern California, Los Angeles, CA 90089, USADepartment of Economics, Texas A&M University, College Station, TX 77843, USADepartment of Economics, University at Albany, SUNY, Albany, NY 12222, USADepartment of Economics, University of Southern California, Los Angeles, CA 90089, USAThis paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly focus on comparing two approaches of estimating unconditional mean of the coefficients for the correlated random coefficients models, the group mean estimator and the generalized least squares estimator. For the group mean estimator, we show that it achieves Chamberlain (1992) semi-parametric efficiency bound asymptotically. For the generalized least squares estimator, we show that when <i>T</i> is large, a generalized least squares estimator that ignores the correlation between the individual coefficients and regressors is asymptotically equivalent to the group mean estimator. In addition, we give conditions where the standard within estimator of the mean of the coefficients is consistent. Moreover, with additional assumptions on the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used to examine the finite sample performances of different estimators.https://www.mdpi.com/2225-1146/7/1/7panel datacorrelated random coefficientsefficiency bound |
| spellingShingle | Cheng Hsiao Qi Li Zhongwen Liang Wei Xie Panel Data Estimation for Correlated Random Coefficients Models Econometrics panel data correlated random coefficients efficiency bound |
| title | Panel Data Estimation for Correlated Random Coefficients Models |
| title_full | Panel Data Estimation for Correlated Random Coefficients Models |
| title_fullStr | Panel Data Estimation for Correlated Random Coefficients Models |
| title_full_unstemmed | Panel Data Estimation for Correlated Random Coefficients Models |
| title_short | Panel Data Estimation for Correlated Random Coefficients Models |
| title_sort | panel data estimation for correlated random coefficients models |
| topic | panel data correlated random coefficients efficiency bound |
| url | https://www.mdpi.com/2225-1146/7/1/7 |
| work_keys_str_mv | AT chenghsiao paneldataestimationforcorrelatedrandomcoefficientsmodels AT qili paneldataestimationforcorrelatedrandomcoefficientsmodels AT zhongwenliang paneldataestimationforcorrelatedrandomcoefficientsmodels AT weixie paneldataestimationforcorrelatedrandomcoefficientsmodels |