Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/192402 
Authors: 
Year of Publication: 
2005
Series/Report no.: 
Discussion Papers No. 420
Publisher: 
Statistics Norway, Research Department, Oslo
Abstract: 
A regression equation for panel data with two-way random or fixed effects and a set of individual specific and period specific `within individual' and `within period', estimators of its slope coefficients are considered. They can be given Ordinary Least Squares (OLS) or Instrumental Variables (IV) interpretations. A class of estimators, obtained as an arbitrary linear combination of these `disaggregate' estimators, is defined and an expression for its variance-covariance matrix is derived. Nine familiar `aggregate' estimators which utilize the entire data set, including two between, three within, three GLS, as well as the standard OLS, emerge by specific choices of the weights. Other estimators in this class which are more robust to simultaneity and measurement error bias than the standard aggregate estimators and more efficient than the `disaggregate' estimators, are also considered. An empirical illustration of robustness and efficiency, relating to manufacturing productivity, is given.
Subjects: 
Panel data. Aggregation. Simultaneity. Measurement error. Method of moments. Factor productivity
JEL: 
C13
C23
C43
Document Type: 
Working Paper

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