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On the robustness of fixed effects and related estimators in correlated random coefficient panel data models

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  • Jeffrey M. Wooldridge

Abstract

I show that a class of fixed effects estimators is reasonably robust for estimating the population-averaged slope coefficients in panel data models with individual-specific slopes, where the slopes are allowed to be correlated with the covariates. In addition to including the usual fixed effects estimator, the results apply to estimators that eliminate individual-specific trends. Further, asymptotic variance matrices are straightforward to estimate. I apply the results, and propose alternative estimators, to estimation of averagetreatment in a general class of unobserved effects models.

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  • Jeffrey M. Wooldridge, 2004. "On the robustness of fixed effects and related estimators in correlated random coefficient panel data models," CeMMAP working papers 04/04, Institute for Fiscal Studies.
    • Handle: RePEc:azt:cemmap:04/04
    DOI: 10.1920/wp.cem.2004.0404
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    4. Vincent O'connell, 2006. "The Impact of Accounting Conservatism on the Compensation Relevance of UK Earnings," European Accounting Review, Taylor & Francis Journals, vol. 15(4), pages 627-649.

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