Estimation of Dynamic Nonlinear Random Effects Models with Unbalanced Panels

Pedro Albarran ()
Authors registered in the RePEc Author Service: Raquel Carrasco () and Jesus M. Carro

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: This paper presents and evaluates estimation methods for dynamic non-linear models with correlated random effects (CRE) when we have unbalanced panels. Accounting for the unbalancedness is crucial in dynamic non-linear models and ignoring it produces inconsistent estimates of the parameters even if the process that drives it is completely at random. We show that selecting a balanced panel from the sample can produce efficiency losses or even inconsistent estimates of the average marginal effects. In this paper we allow the sample selection process that determines the unbalancedness structure of the data to be arbitrarily correlated with the permanent unobserved heterogeneity. We discuss how to address the estimation by maximizing the likelihood function for the whole sample and also propose a Minimum Distance approach, which is computationally simpler and asymptotically equivalent to the Maximum Likelihood estimation. Our Monte Carlo experiments and empirical illustration show that our proposed estimation approaches perform better both in terms of bias and RMSE than the approaches that ignore the unbalancedness or that balance the sample.

Keywords: Unbalanced; panels; Correlated; random; effects; Dynamic; non-linear; models (search for similar items in EconPapers)
JEL-codes: C23 C25 (search for similar items in EconPapers)
Date: 2015-02-01
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-mfd
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... bc6dca5ba452/content (application/pdf)

Related works:
Journal Article: Estimation of Dynamic Nonlinear Random Effects Models with Unbalanced Panels (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we1503

Access Statistics for this paper

More papers in UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía
Bibliographic data for series maintained by Ana Poveda ().