Advertisement

Pseudo Panel Data

  • Marno Verbeek
Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 28)

Abstract

In the previous chapters much attention was paid to estimation and testing strategies using panel data in a variety of models.1 In practical situations, however, a true panel data set may not always be available, while repeated cross sections are. For example, in the United Kingdom, no panel data are available on consumer expenditures or labour supply. Nevertheless, a random sample of the population is available each year in the Family Expenditure Surveys (F.E.S.). Recently, several authors have stressed the fact that panel data are not indispensible for the identification of many commonly estimated models and that the parameters of interest can often be identified (with or without some additional assumptions) from a single cross section or a series of cross sections (see, for example, Heckman and Robb [1985], Deaton [1985] and Moffitt [1991]). In this chapter we shall discuss the identification and estimation of panel data models from repeated cross sections. In particular, attention will be paid to linear models with fixed individual effects and tomodels containing lagged endogenous variables.

Keywords

Panel Data Instrumental Variable Panel Data Model Linear Dynamic Model Fixed Individual Effect 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Anderson, T.W. - Hsiao, C. [1981]: Estimation of Dynamic Models with Error Components; Journal of the American Statistical Association, Vol. 76, pp. 598–606.CrossRefGoogle Scholar
  2. Blundell, R. - Browning, M. - Meghir, C. [1989]: A Microeconometric Model of Intertemporal Substitution and Consumer Demand; Discussion Paper in Economics 89-11, UCL, London.Google Scholar
  3. Browning, M. - Deaton, A. - Irish, M. [1985]: A Profitable Approach to Labor Supply and Commodity Demands over the Life Cycle; Econometrica, Vol. 53, pp. 503–543.CrossRefGoogle Scholar
  4. Collado, M.D. [1991]: Estimating Dynamic Models from Time Series of Cross-Sections; London School of Economics, mimeo.Google Scholar
  5. Deaton, A . [1985]: Panel Data from Time Series of Cross-Sections; Journal of Econometrics, Vol. 30, pp. 109–126.CrossRefGoogle Scholar
  6. Durbin, J. [1954]: Errors-in-Variables; Review of the International Statistical Institute, Vol. 22, pp. 23–32.CrossRefGoogle Scholar
  7. Fuller, W . A . [1987]: Measurement Error Models ; Wiley and Sons, New York.CrossRefGoogle Scholar
  8. Heckman, J.J. - MaCurdy, Th.E. [1980]: A Life Cycle Model of Female Labour Supply Review of Economic Studies, Vol. 47, pp. 47–74.CrossRefGoogle Scholar
  9. Heckman, J.J. - Robb, R. [1985]:Alternative Models for Evaluating the Impact of Interventions: an Overview; Journal of Econometrics, Vol. 30, pp. 239–267.CrossRefGoogle Scholar
  10. MaCurdy, Th.E. [1981]: An Empirical Model of Labor Supply in a Life-Cycle Setting; Journal of Political Economy, Vol. 89, pp. 1059–1085.CrossRefGoogle Scholar
  11. Moffitt, R., [1991]: Identification and Estimation of Dynamic Models with a Time Series of Repeated Cross Sections; Brown University, Providence RI, mimeo; forthcoming in Journal of Econometrics.Google Scholar
  12. Nickell, S. [1981]: Biases in Dynamic Models with Fixed Effects: Econometrica, Vol. 49, pp. 1417–1426.CrossRefGoogle Scholar
  13. Nijman, Th.E. - Verbeek, M. [1990]: Estimation of Time-Dependent Parameters in Linear Models Using Cross-Sections, Panels, or Both; Journal of Econometrics, Vol. 46, pp. 333–346.CrossRefGoogle Scholar
  14. Verbeek, M. - Nijman, Th.E. [1992a]: Can Cohort Data Be Treated As Genuine Panel Data?; Empirical Economics, Vol. 17, pp. 9–23.CrossRefGoogle Scholar
  15. Verbeek, M. - Nijman, Th.E. [1992b]: Minimum MSE Estimation of a Regression Model with Fixed Effects from a Series of Cross Sections Tilburg University, CentER Discussion Paper 9201; forthcoming in Journal of Econometrics.Google Scholar

Copyright information

© Kluwer Academic Publishers 1992

Authors and Affiliations

  • Marno Verbeek

There are no affiliations available

Personalised recommendations