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dc.contributor.authorAshley, Richard A.en
dc.date.accessioned2019-07-17T15:14:59Z
dc.date.available2019-07-17T15:14:59Z
dc.date.issued2010-04-19en
dc.identifier.urihttp://hdl.handle.net/10919/91477
dc.description.abstractIt is widely believed that the inclusion of lagged dependent variables in a panel data model necessarily renders the Random Effects (RE) estimators, based on OLS applied to the quasi-differenced variables, inconsistent. It is shown here that this belief is incorrect under the usual assumption made in this context — i.e., that the other regressors are strictly exogenous. This result follows from the fact that lagged values of the deviation of the quasi-differenced dependent variable from its mean can be written as a weighted sum of the past values of the quasi-differenced model error term, whereas these quasi-differenced errors are serially uncorrelated by construction. The RE estimators are therefore consistent. Thus, since instrumental variables methods { e.g., Arellano and Bond (1991) — clearly provide less precise estimates, the RE estimates are preferable if a Hausman test is unable to reject the null hypothesis that the parameter estimates of interest from both methods are equal.en
dc.format.extent4 pagesen
dc.format.mimetypeapplication/pdfen
dc.language.isoenen
dc.publisherVirginia Techen
dc.relation.ispartofseriesJEL Classication: C23
dc.rightsIn Copyright (InC)en
dc.rightsThis Item is protected by copyright and/or related rights. Some uses of this Item may be deemed fair and permitted by law even without permission from the rights holder(s). For other uses you need to obtain permission from the rights holder(s).en
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectPanel dataen
dc.subjectrandom effects modelen
dc.subjecterror components modelen
dc.titleA Reconsideration of Consistent Estimation of a Dynamic Panel Data Model in the Random Effects (Error Components) Frameworken
dc.typeWorking paperen
dc.type.dcmitypeTexten
dc.identifier.sourceurlhttp://www.ashleymac.econ.vt.edu/working_papers/random_effects_note.pdfen


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