Correlated random effects models with unbalanced panels

Jeffrey Wooldridge

Journal of Econometrics, 2019, vol. 211, issue 1, 137-150

Abstract: I propose some strategies for allowing unobserved heterogeneity to be correlated withobserved covariates and sample selection for unbalanced panels. The methods are extensions of the Chamberlain–Mundlak approach for balanced panels when explanatory variables are strictly exogenous conditional on unobserved effects. A byproduct is fully robust Hausman tests for unbalanced panels. Even for nonlinear models, in many cases the estimators can be implemented using standard software. The framework suggests straightforward tests for sample selection that is correlated with unobserved shocks while allowing selection to be correlated with the observed covariates and unobserved heterogeneity.

Keywords: Correlated random effects; Panel data; Unbalanced panel; Hausman test (search for similar items in EconPapers)
JEL-codes: C13 C23 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (140)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:211:y:2019:i:1:p:137-150

DOI: 10.1016/j.jeconom.2018.12.010

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