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Some strange properties of panel data estimators
Author(s) -
Robertson D.,
Symons J.
Publication year - 1992
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950070206
Subject(s) - estimator , panel data , monte carlo method , econometrics , variation (astronomy) , estimation , specification , statistics , statistical physics , computer science , mathematics , economics , physics , management , astrophysics
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.