Econometric Analysis of Cross Section and Panel Data - Free

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Contents
10.6.3 Testing for Serial Correlation 282
10.6.4 Policy Analysis Using First Di¤erencing 283
10.7 Comparison of Estimators 284
10.7.1 Fixed E¤ects versus First Di¤erencing 284
10.7.2 The Relationship between the Random E¤ects and Fixed
E¤ects Estimators 286
10.7.3 The Hausman Test Comparing the RE and FE Estimators 288
Problems 291
11 More Topics in Linear Unobserved E¤ects Models 299
11.1 Unobserved E¤ects Models without the Strict Exogeneity
Assumption 299
11.1.1 Models under Sequential Moment Restrictions 299
11.1.2 Models with Strictly and Sequentially Exogenous
Explanatory Variables 305
11.1.3 Models with Contemporaneous Correlation between Some
Explanatory Variables and the Idiosyncratic Error 307
11.1.4 Summary of Models without Strictly Exogenous
Explanatory Variables 314
11.2 Models with Individual-Specific Slopes 315
11.2.1 A Random Trend Model 315
11.2.2 General Models with Individual-Specific Slopes 317
11.3 GMM Approaches to Linear Unobserved E¤ects Models 322
11.3.1 Equivalence between 3SLS and Standard Panel Data
Estimators 322
11.3.2 Chamberlain’s Approach to Unobserved E¤ects Models 323
11.4 Hausman and Taylor-Type Models 325
11.5 Applying Panel Data Methods to Matched Pairs and Cluster
Samples 328
Problems 332
III GENERAL APPROACHES TO NONLINEAR ESTIMATION 339
12 M-Estimation 341
12.1 Introduction 341
12.2 Identification, Uniform Convergence, and Consistency 345
12.3 Asymptotic Normality 349