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Joining Panel Data with Cross-Sections for Efficiency Gains

Bruno, RL; Stampini, M; (2009) Joining Panel Data with Cross-Sections for Efficiency Gains. Giornale degli Economisti e Annali di Economia , 68 (2) pp. 149-173. Green open access

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Abstract

Under the classical linear regression model assumptions, fixed effects estimates properly control for time-invariant unobservables and produce unbiased estimates. However, they often rely on limited data variability and present high standard errors. We present an innovative methodology that complements longitudinal data with other sources of unpaired data to increase estimation efficiency. The methodology assumes that the are no time varying unobservables correlated with the observables and with the fixed effects. We apply the methodology to three sets of Leaving Standard Measurement Study data from Nicaragua and estimate a household consumption model. We find that, if the correlation between observables and unobservables does not vary across time, our methodology has the potential to lead to unbiased and more efficient estimates.

Type: Article
Title: Joining Panel Data with Cross-Sections for Efficiency Gains
Location: Italy
Open access status: An open access version is available from UCL Discovery
Publisher version: https://www.jstor.org/stable/41954993
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Estimation Efficiency; Panel Data; Cross sections; Fixed Effects; Nicaragua
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > SSEES
URI: https://discovery.ucl.ac.uk/id/eprint/10175005
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