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On Estimation of Panel Data Regression Model in the Presence of Endogeneity and Heterogeneity

T. J. Megersa, J. C. Chelule, R. O. Odhiambo

Abstract


A considerable amount of research has been done on estimation of regression models using either time series or cross sectional data. However, not much work has been done on the same using panel data. In this paper, we present estimation of panel data regression model in the presence of endogeneity and heterogeneity under some specified conditions. We discuss estimation techniques for both fixed and random effects models. In particular, we derive within, two-stage least squares (2SLS), generalized least square (GLS) and feasible generalized least square (FGLS) estimators, and discuss limitations of each technique.

Keywords


Panel data, Fixed effects, Random effects ,Within, Two-stage least square , Generalized Least Square , Feasible generalized least square, Heterogeneity , Endogeneity.

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