Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/165962 
Authors: 
Year of Publication: 
2016
Series/Report no.: 
Memorandum No. 19/2016
Publisher: 
University of Oslo, Department of Economics, Oslo
Abstract: 
For a panel data regression equation with two-way unobserved heterogeneity, individual-specific and period-specific, 'within-individual' and 'within-period' estimators, which can be given Ordinary Least Squares (OLS) or Instrumental Variables (IV) interpretations, are considered. A class of estimators defined as linear aggregates of these estimators, is defined. Nine aggregate estimators, including between, within, and Generalized Least Squares (GLS), are special cases. Other estimators are shown to be more robust to simultaneity and measurement error bias than the standard aggregate estimators and more efficient than the 'disaggregate' estimators. Empirical illustrations relating to manufacturing productivity are given.
Subjects: 
Panel data
Aggregation
IV estimation
Robustness
Method of moments
Factor productivity
JEL: 
C13
C23
C43
Document Type: 
Working Paper

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