Publication:
Estimation of Dynamic Nonlinear Random Effects Models with Unbalanced Panels

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorAlbarrán, Pedro
dc.contributor.authorCarrasco, Raquel
dc.contributor.authorCarro, Jesús M.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2017-07-07T09:04:07Z
dc.date.available2017-07-07T09:04:07Z
dc.date.issued2015-02-01
dc.date.updated2017-06
dc.description.abstractThis paper presents and evaluates estimation methods for dynamic non-linear models with correlated random effects (CRE) when we have unbalanced panels. Accounting for the unbalancedness is crucial in dynamic non-linear models and ignoring it produces inconsistent estimates of the parameters even if the process that drives it is completely at random. We show that selecting a balanced panel from the sample can produce efficiency losses or even inconsistent estimates of the average marginal effects. In this paper we allow the sample selection process that determines the unbalancedness structure of the data to be arbitrarily correlated with the permanent unobserved heterogeneity. We discuss how to address the estimation by maximizing the likelihood function for the whole sample and also propose a Minimum Distance approach, which is computationally simpler and asymptotically equivalent to the Maximum Likelihood estimation. Our Monte Carlo experiments and empirical illustration show that our proposed estimation approaches perform better both in terms of bias and RMSE than the approaches that ignore the unbalancedness or that balance the sample.en
dc.description.sponsorshipThe authors gratefully acknowledge research funding from the Spanish Ministry of Education, Grants ECO2012-31358 and ECO2015-65204-P.en
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031
dc.identifier.repecwe1503
dc.identifier.urihttps://hdl.handle.net/10016/20063
dc.identifier.uxxiDT/0000001325
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Economicsen
dc.relation.ispartofseries15-03
dc.relation.projectIDGobierno de España. ECO2012-31358es
dc.relation.projectIDGobierno de España. ECO2015-65204-Pes
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 Españaes
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.jelC23
dc.subject.jelC25
dc.subject.otherUnbalanced panelsen
dc.subject.otherCorrelated random effectsen
dc.subject.otherDynamic non-linear modelsen
dc.titleEstimation of Dynamic Nonlinear Random Effects Models with Unbalanced Panelsen
dc.typeworking paper*
dc.type.hasVersionAO*
dspace.entity.typePublication
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