Panel Data Models: Some Recent Developments

Manuel Arellano and B. Honore

Working Papers from Centro de Estudios Monetarios Y Financieros-

Abstract: This chapter focuses on two of the developments in panel data econometrics since the Handbook chapter by Chamberlain (1984). The first objective of this chapter is to provide a review of linear panel data models with predetermined variables. We discuss the implications of assuming that explanatory variables are predetermined as opposed to strictly exogenous in dynamic structural equations with unobserved heterogeneity. We compare the identification from moment conditions in each case, and the implications of alternative feedback schemes for the time series properties of the errors. We next consider autoregressive error component models under various auxiliary assumptions. There is a trade-off between robustness and efficiency since assumptions of stationary initial conditions or time series homoskedasticity can be very informative, but estimators are not robust to their violation. We also discuss the identification problems that arise in models with predetermined variables and multiple effects. Concerning inference in linear models with predetermined variables, we discuss the form of optimal instruments, and the sampling properties of GMM and LIML-analogue estimators drawing on Monte Carlo results and asymptotic approximations.

Keywords: ECONOMETRICS; MODELS; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Pages: 88 pages
Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (30)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Chapter: Panel data models: some recent developments (2001)
Working Paper: Panel Data Models: Some Recent Developments (2000)
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:fth:cemfdt:0016

Access Statistics for this paper

More papers in Working Papers from Centro de Estudios Monetarios Y Financieros- Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().