Some Strange Properties of Panel Data Estimators

Donald Robertson and James Symons

CEP Discussion Papers from Centre for Economic Performance, LSE

Abstract: We study the biases that are likely to arise in practice with panel data when parameters vary across individuals, but this is not allowed for in estimation. We consider both stationary and non-stationary regressors. We find that biases can be severe for relatively small parameter variation, and that this problem is hard to detect. We study in some detail by Monte Carlo the performance of the Anderson-Hsiao estimator in the presence of this particular mis-specification.

Date: 1991-07
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Journal Article: Some Strange Properties of Panel Data Estimators (1992)
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