The two-way Mundlak estimator

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Reviews Pub Date : 2023-02-01 DOI:10.1080/07474938.2023.2178139

B. Baltagi

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引用次数: 3

Abstract

Abstract Mundlak shows that the fixed effects estimator is equivalent to the random effects estimator in the one-way error component model once the random individual effects are modeled as a linear function of all the averaged regressors over time. In the spirit of Mundlak, this paper shows that this result also holds for the two-way error component model once the individual and time effects are modeled as linear functions of all the averaged regressors across time and across individuals. Wooldridge also shows that the two-way fixed effects estimator can be obtained as a pooled OLS with the regressors augmented by the time and individual averages and calls it the two-way Mundlak estimator. While Mundlak used GLS rather than OLS on this augmented regression, we show that both estimators are equivalent for this augmented regression. This extends Baltagi’s results from the one-way to the two-way error component model. The F test suggested by Mundlak to test for this correlation between the random effects and the regressors generate a Hausman type test that is easily generalizable to the two-way Mundlak regression. In fact, the resulting F-tests for the two-way error component regression are related to the Hausman type tests proposed by Kang for the two-way error component model.

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双向蒙德拉克估计量

Mundlak表明，一旦将随机个体效应建模为所有平均回归量随时间的线性函数，则固定效应估计量与单向误差分量模型中的随机效应估计量等效。在蒙德拉克的精神下，本文表明，一旦个体和时间效应被建模为所有平均回归量跨时间和跨个体的线性函数，这一结果也适用于双向误差分量模型。Wooldridge还表明，双向固定效应估计量可以作为回归量随时间和个体平均值增广的混合OLS得到，并称之为双向Mundlak估计量。虽然Mundlak在这个增广回归上使用GLS而不是OLS，但我们表明这两个估计量对于这个增广回归是等效的。这将Baltagi的结果从单向错误组件模型扩展到双向错误组件模型。Mundlak提出的检验随机效应和回归量之间相关性的F检验产生了一个Hausman型检验，很容易推广到双向Mundlak回归。事实上，双向误差分量回归的f检验结果与Kang提出的双向误差分量模型的Hausman型检验有关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometric Reviews 管理科学-数学跨学科应用

CiteScore

1.70

自引率

0.00%

发文量

审稿时长

>12 weeks

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