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Estimation of Fixed E ff ects Models of Panel Data with Sequential Exogeneity Preliminary and Incomplete
| Content Provider | Semantic Scholar |
|---|---|
| Author | Verdier, Valentin |
| Copyright Year | 2013 |
| Abstract | This paper considers the Fixed Effects estimation of non-linear models of panel data with multiplicative unobserved effects and where instrumental variables are predetermined as opposed to strictly exogenous. Existing estimators for these models suffer from a weak instrumental variable problem which can cause them to be too inaccurate to be reliable. In this paper we present additional sets of restrictions which can be used for more precise estimation. Monte Carlo simulations show that using these additional moment conditions improves the precision of the estimators significantly and hence should facilitate the use of these models. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://econ.msu.edu/seminars/docs/FE_SequentialExogeneity.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
