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Panel Data Models with Temporal Effects of Individual Characteristics

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Authors
Lee, YoungHoon
Issue Date
1994-01
Publisher
Institute of Economic Research, Seoul National University
Citation
Seoul Journal of Economics, Vol.7 No.1, pp. 1-22
Keywords
regression modelGLSincidental parameters problem
Abstract
In most of the panel data literature, the role of individual-variant intercepts is to control for unobservable individual specific effects. The unobservables which are represented by the individual effect should have influences on the dependent variable that are constant over time but varying over individuals. The primary focus of this study is on the construction of a regression model that allows timevarying effects of individual specific components on the dependent variable. We discuss fixed effects and random effects and derive the estimators that are analogous to the within and GLS estimators of the standard panel data model. We derive the asymptotic properties of the generalized within and GLS estimators. Furthermore, we construct test statistics for the hypothesis that the individual effect has a constant coefficient over time.
ISSN
1225-0279
Language
English
URI
https://hdl.handle.net/10371/1030
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.07(1) (Spring 1994)
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