Estimation of Dynamic Nonlinear Random Effects Models with Unbalanced Panels
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10045/98907
Title: | Estimation of Dynamic Nonlinear Random Effects Models with Unbalanced Panels |
---|---|
Authors: | Albarrán, Pedro | Carrasco, Raquel | Carro, Jesus M. |
Research Group/s: | Economía Laboral y Econometría (ELYE) |
Center, Department or Service: | Universidad de Alicante. Departamento de Fundamentos del Análisis Económico |
Keywords: | Unbalanced Panels | Correlated random effects | Dynamic non-linear models |
Knowledge Area: | Fundamentos del Análisis Económico |
Issue Date: | Dec-2019 |
Publisher: | John Wiley & Sons |
Citation: | Oxford Bulletin of Economics and Statistics. 2019, 81(6): 1424-1441. doi:10.1111/obes.12308 |
Abstract: | This paper presents estimation methods for dynamic nonlinear models with correlated random effects (CRE) when having unbalanced panels. Unbalancedness is often encountered in applied work and ignoring it in dynamic nonlinear models produces inconsistent estimates even if the unbalancedness process is completely at random. We show that selecting a balanced panel from the sample can produce efficiency losses or even inconsistent estimates of the average marginal effects. We allow the process that determines the unbalancedness structure of the data to be correlated with the permanent unobserved heterogeneity. We discuss how to address the estimation by maximizing the likelihood function for the whole sample and also propose a Minimum Distance approach, which is computationally simpler and asymptotically equivalent to the Maximum Likelihood estimation. Our Monte Carlo experiments and empirical illustration show that the issue is relevant. Our proposed solutions perform better both in terms of bias and RMSE than the approaches that ignore the unbalancedness or that balance the sample. |
Sponsor: | The authors gratefully acknowledge research funding from the Spanish Ministry of Education, Grants ECO2012-31358, ECO2015-65204-P, ECO2017-87069-P, MDM 2014-0431 and Comunidad de Madrid, MadEco-CM (S2015/HUM-3444). |
URI: | http://hdl.handle.net/10045/98907 |
ISSN: | 0305-9049 (Print) | 1468-0084 (Online) |
DOI: | 10.1111/obes.12308 |
Language: | eng |
Type: | info:eu-repo/semantics/article |
Rights: | © 2019 The Department of Economics, University of Oxford and JohnWiley & Sons Ltd. |
Peer Review: | si |
Publisher version: | https://doi.org/10.1111/obes.12308 |
Appears in Collections: | INV - ELYE - Artículos de Revistas |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
2019_Albarran_etal_OxfordBullEconStat_final.pdf | Versión final (acceso restringido) | 110,23 kB | Adobe PDF | Open Request a copy |
2019_Albarran_etal_OxfordBullEconStat_preprint.pdf | Preprint (acceso abierto) | 1,16 MB | Adobe PDF | Open Preview |
Items in RUA are protected by copyright, with all rights reserved, unless otherwise indicated.