Partially time invariant panel data regression

Hervé Cardot () and Antonio Musolesi ()
Additional contact information
Hervé Cardot: IMB - Institut de Mathématiques de Bourgogne [Dijon] - UB - Université de Bourgogne - CNRS - Centre National de la Recherche Scientifique
Antonio Musolesi: UniFE - Università degli Studi di Ferrara = University of Ferrara

Working Papers from HAL

Abstract: When dealing with panel data, considering the variation over time of the variable of interest allows to get rid of potential individual effects. Even though the outcome variable has a continuous distribution, its variation over time can be equal to zero with a strictly positive probability and thus its distribution is a mixture of a mass at zero and a continuous distribution. We introduce a parametric statistical model based on conditional mixtures, build estimators for the parameters related to the conditional probability of no variation and to the conditional expectation related to the continuous part of the distribution and derive their asymptotic consistency and normality under a specific conditional independence assumption. Consistent confidence intervals are built via an empirical bootstrap approach. In the framework of policy evaluation, we study estimates of treatment effects based on difference-indifferences under the same zero inflation phenomenon and propose estimators of the average treatment effect that are proven to be consistent and asymptotically Gaussian. A small Monte Carlo simulation study assesses the good behavior of the estimators for finite samples and highlights that miss specified models that do not take account of the zero inflation may have a substantial bias. Empirical illustrations based on long time difference for the Mincer wage equation as well as the evaluation of European rural development policies based on the difference-indifferences approach confirm the interest of the proposed statistical modeling, bringing new insights on the size of the bias in commonly used regression models.

Keywords: Zero Inflation; Bootstrap; Heterogeneous Treatment Effects; Mixture of Distributions; Panel Data; Policy Evaluation (search for similar items in EconPapers)
Date: 2024-02-15
Note: View the original document on HAL open archive server: https://hal.science/hal-04149063v2
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-04149063v2/document (application/pdf)

Related works:
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:hal:wpaper:hal-04149063

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().