Estimation of dynamic linear models in short panels with ... - Cemmap

Table 1 Estimates and tests (standard errors in parentheses)Dynamic model Initial conditionsCovariate βˆ Std. err.ˆδ /σˆη Std. err.α 0.331 0.012Black -0.224 0.290 0.153 0.602Asian -0.366 0.128 -0.030 0.235In relationship 0.081 0.043 -0.069 0.100Divorced/separated -0.161 0.079 -0.729 0.181Widowed 0.300 0.159 0.765 0.828Newly divorced/separated/widowed -0.178 0.114Employed 0.291 0.048 0.346 0.129Self-employed 0.234 0.060 0.250 0.155Unemployed -0.340 0.076 -0.653 0.171Newly unemployed -0.396 0.096Degree or other further education 0.222 0.055 0.448 0.111A-level 0.269 0.066 0.384 0.125O-level / GCSE / CSE / other qualification 0.130 0.062 0.373 0.110Household size 0.169 0.026 0.175 0.050Number of children in household -0.105 0.018 -0.137 0.039∆ number of children -0.026 0.029Homeowner 0.078 0.057 0.053 0.199Annual household income per head (£×10 -3 ) 0.199 0.013 0.474 0.053∆ household income per head (£×10 -3 ) 0.005 0.016∆ own income (£×10 -3 ) -0.018 0.019Own income as share of household income 0.356 0.061 0.498 0.639Value of house (£×10 -5 ) 0.211 0.062 0.245 0.268Proportionate change in value of house 0.000 0.005Age 18-30 -0.065 0.052 -0.293 0.119Age 31-40 -0.084 0.044 -0.101 0.129Age 41-50 -0.052 0.045 -0.009 0.130Age 51-65 0.117 0.052 -0.004 0.157Poor health 0.014 0.067 0.016 0.122Newly-developed ill-health 0.036 0.082Wave 1 dummy -0.270 0.130Wave 2 dummy -0.136 0.051Wave 3 dummy -0.075 0.051Wave 4 dummy -0.148 0.051Wave 5 dummy 0.041 0.051Wave 6 dummy 0.007 0.052Wave 7 dummy 0.018 0.051Wave 8 dummy -0.081 0.052Wave 9 dummy -0.111 0.052Γ 1 -1.542 0.168 -1.598 0.315Γ 2 -0.620 0.166 -0.577 0.309Γ 3 0.934 0.166 1.233 0.323Γ 4 2.463 0.167 2.870 0.3602σ u 0.375 0.027γ 1.005 0.0812σ η 2.666 0.193Score test for the S = 1 model χ 2 (59) 54.78 (P = 0.368)Log-likelihood -14,535.50- 18 -