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ESTIMATING DYNAMIC RANDOM EFFECTS MODELS FROM PANEL DATA COVERING SHORT TIME PERIODS

Alok Bhargava () and J. Sargan

Chapter 1 in Econometrics, Statistics and Computational Approaches in Food and Health Sciences, 2006, pp 3-27 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper advocates the use of simultaneous equations estimators (especially LIML) to estimate dynamic random effects models from panel data. The methods are found to perform quite satisfactorily in Monte Carlo experiments. The LIML procedures are also extended to the case where some of the regressors are correlated with the effects and a theorem on identification is proved. Finally, the Michigan Panel is used for some illustrations.

Keywords: Econometrics; Nutrition; Health; Child Development; Psychology; Behavioral Nutrition; Demography; Anthropology; Economic Development; Agricultural Economics; Environmental Sciences; Epidemiology; Nonlinear Optimization (search for similar items in EconPapers)
JEL-codes: C40 C10 Q18 Z18 (search for similar items in EconPapers)
Date: 2006
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Journal Article: Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods (1983) Downloads
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