Transcription of Panel Data Models with Heterogeneity and Endogeneity
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Panel Data Models with Heterogeneity and Endogeneity
Panel data Models with Heterogeneity and EndogeneityJeff WooldridgeMichigan State UniversityProgramme Evaluation for Policy AnalysisInstitute for Fiscal StudiesJune 20121. Introduction2. General Setup and Quantities of Interest3. Assumptions with Neglected Heterogeneity4. Models with Heterogeneity and Endogeneity5. Estimating Some Popular When Panel data Models contain unobserved Heterogeneity andomitted time-varying variables, control function methods can be used toaccount for both problems. Under fairly week assumptions can obtain consistent, asymptoticallynormal estimators of average structural functions provided suitableinstruments are available. Other issues with Panel data : How to treat dynamics? Models withlagged dependent variables are hard to estimate when Heterogeneity andother sources of Endogeneity are Approaches to handling unobserved Heterogeneity :1. Treat as parameters to estimate. Can work well with largeTbut withsmallTcan have incidental parameters problem.
1. Introduction ∙When panel data models contain unobserved heterogeneity and omitted time-varying variables, control function methods can be used to account for both problems. ∙Under fairly week assumptions can obtain consistent, asymptotically normal estimators of average structural functions – provided suitable
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