Showing papers by "Olympia Bover published in 1990"

La econometría de datos de panel

Abstract: This article presents a synthesis of the methods that are available for the econometric analvsis of panel data in a unified framework. In particular, we analyse the form in whi~h the properties of the various estimators depend on the assumptiollS abour explanatory variables, permanent unobservable effects and disturbance terms. Firstly we study both static and dynamic linear models with individual effects. Subsequently the an~lysis is extended to limited dependent variable models with individual effects and dynamic responses. Recepción del original, octubre de 1989 Versión final, diciembre de 1989

Another Look at the Instrumental Variable Estimation of Error-Components Models

Abstract: This article develops a framework for efficient IV estimators of random effects models with information in levels which can accommodate predetermined variables. Our formulation clarifies the relationship between the existing estimators and the role of transformation in panel data models. We characterise the valid transformations for relevant models and show the optimal estimators are invariant to the transformation used to remove individual effects. We present an alternative transformation for models with predetermined instruments which preserves the orthogonality among the errors. Finally, we consider models with predetermined variables that have constant correlation with effects and illustrate their importance with simulations.