Open Access
Subscription Access
Investigating the Asymptotic Properties of Some Estimators for Panel Data Regression Model with Individual Effects
Megersa T. Jirata, J. C. Chelule, R. O. Odhiambo
Abstract
The panel data models are becoming more common in relation to cross-section and time series models for innumerable present advantages, in addition to the computational advance that facilitated theirs utilization. A primary advantage of these models is the ability to control for time invariant omitted variables that may bias observed relationships. This paper considers estimation of linear panel data models with fixed effects and random effects when the equation of interest contains unobserved heterogeneity as well as endogenous explanatory variables. This paper examines the asymptotic properties of the two-stage least square (2SLS), generalized (GLS) estimators and the Hausman test for panel data models with large numbers of cross-section (N) and fixed time-series (T) observations. In particular, consistency and asymptotic normality of the two standard panel data estimators are studied. We find that both estimators are consistent and asymptotically normal and have different convergence rates dependent on the assumptions of the regressors and the remainder disturbances. The asymptotic Hausman statistic, which is essentially a distance measure between the two estimators, is well defined and asymptotically chi-square distributed under the random effects assumptions.
Keywords
Panel data, Fixed effects , Random effects, Endogeneity, Heterogeneity, Two-stage least square , Generalized Least square , Consistency and Asymptotic Normality.
Full Text:
PDF
Disclaimer/Regarding indexing issue:
We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information. Also: DOI is paid service which provided by a third party. We never mentioned that we go for this for our any journal. However, journal have no objection if author go directly for this paid DOI service.