Comparing fixed effects and covariance structure estimators for panel data

TY - JOUR

T1 - Comparing fixed effects and covariance structure estimators for panel data

AU - Ejrnæs, Mette

AU - Holm, Anders

N1 - JEL Classification: C01

PY - 2006

Y1 - 2006

N2 - In this article, the authors compare the traditional econometric fixed effect estimator with the maximum likelihood estimator implied by covariance structure models for panel data. Their findings are that the maximum like lipoid estimator is remarkably robust to certain types of misspecifications (e.g., deviation from the assumption of an underlying normal distribution). However, with other types of misspecification, the fixed estimator is pre ferable. Furthermore, the authors suggest that the Hausman specification test may be used as a test of the consistency of the maximum likelihood estimator

AB - In this article, the authors compare the traditional econometric fixed effect estimator with the maximum likelihood estimator implied by covariance structure models for panel data. Their findings are that the maximum like lipoid estimator is remarkably robust to certain types of misspecifications (e.g., deviation from the assumption of an underlying normal distribution). However, with other types of misspecification, the fixed estimator is pre ferable. Furthermore, the authors suggest that the Hausman specification test may be used as a test of the consistency of the maximum likelihood estimator

KW - Faculty of Social Sciences

KW - fixed effects estimator

KW - panel data

U2 - 10.1177/0049124106289109

DO - 10.1177/0049124106289109

M3 - Journal article

SN - 0049-1241

VL - 35

SP - 61

EP - 83

JO - Sociological Methods & Research

JF - Sociological Methods & Research

IS - 1

ER -