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Exploiting information from singletons in panel data analysis: A GMM approach

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  • Bruno, Randolph Luca
  • Magazzini, Laura
  • Stampini, Marco

Abstract

We propose a novel procedure, built within a Generalized Method of Moments framework, which exploits unpaired observations (singletons) to increase the efficiency of longitudinal fixed effect estimates. The approach allows increasing estimation efficiency, while properly tackling the bias due to unobserved time-invariant characteristics. We assess its properties by means of Monte Carlo simulations, and apply it to a traditional Total Factor Productivity regression, showing efficiency gains of approximately 8–9 percent.

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  • Bruno, Randolph Luca & Magazzini, Laura & Stampini, Marco, 2020. "Exploiting information from singletons in panel data analysis: A GMM approach," Economics Letters, Elsevier, vol. 186(C).
    • Handle: RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302447
    DOI: 10.1016/j.econlet.2019.07.004
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Randolph Luca Bruno & MARCO STAMPINI, 2009. "Joinging Panel Data with Cross-Sections for Efficiency Gains," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 68(2), pages 149-173, July.
    3. Hausman, Jerry A & Taylor, William E, 1981. "Panel Data and Unobservable Individual Effects," Econometrica, Econometric Society, vol. 49(6), pages 1377-1398, November.
    4. Simon Commander & Jan Svejnar, 2011. "Business Environment, Exports, Ownership, and Firm Performance," The Review of Economics and Statistics, MIT Press, vol. 93(1), pages 309-337, February.
    5. Breusch, Trevor S & Mizon, Grayham E & Schmidt, Peter, 1989. "Efficient Estimation Using Panel Data," Econometrica, Econometric Society, vol. 57(3), pages 695-700, May.
    6. Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, vol. 126(1), pages 25-51, May.
    7. Amemiya, Takeshi & MaCurdy, Thomas E, 1986. "Instrumental-Variable Estimation of an Error-Components Model," Econometrica, Econometric Society, vol. 54(4), pages 869-880, July.
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    More about this item

    Keywords

    Singletons; Panel data; Efficient estimation; Unobserved heterogeneity; GMM;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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