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Time-invariant regressors under fixed effects: simple identification via a proxy variable
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SYSNO ASEP 0524647 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Time-invariant regressors under fixed effects: simple identification via a proxy variable Author(s) Bělín, Matěj (NHU-C) Article number 108799 Source Title Economics Letters. - : Elsevier - ISSN 0165-1765
Roč. 186, January (2020)Number of pages 4 s. Language eng - English Country NL - Netherlands Keywords omitted variable bias ; panel data ; random effects Subject RIV AH - Economics OECD category Applied Economics, Econometrics Method of publishing Limited access Institutional support NHU-C - Progres-Q24 UT WOS 000509616300010 EID SCOPUS 85074171832 DOI 10.1016/j.econlet.2019.108799 Annotation Identification of a coefficient associated with a time-invariant regressor (TIR) often relies on the assumption that the TIR is uncorrelated with the unobserved heterogeneity across panel units. We derive an estimator which avoids the random-effects assumption by employing a proxy for the unobserved heterogeneity thus extending the existing results on proxy variables from the cross-sectional literature. This method is easy to implement using standard routines for linear regression. Monte Carlo evidence shows the proposed estimator performs well is small samples. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2021 Electronic address https://doi.org/10.1016/j.econlet.2019.108799
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