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SLOW MOVERS IN PANEL DATA
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DOI：10.1017/S0266466625100157.png)
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Abstract
En 中文
Panel data often contain stayers and slow movers. The literature proposes an estimator for the average partial effects (APEs) for this setting without a formal theory. The literature is also silent about inference in the presence of stayers and many slow movers. We contribute to this state of the art. First, we develop an asymptotic theory to guarantee that such an estimator is consistent in the presence of stayers and slow movers. Second, we propose its standard error. Third, we relax the existing assumption to allow for many slow movers. Fourth, we generalize the existing estimator. Fifth, we establish that this generalized estimator can achieve larger extents of bias reduction and hence faster convergence rates. Simulation studies demonstrate that the conventional 95% confidence interval covers the true value of the APE with 37%-93% frequencies whereas our proposed one achieves 93%-96% coverage frequencies. Using the U.S. Panel Study of Income Dynamics, we find that estimates of the marginal propensity to consume based on our generalized estimator remarkably differ in values from those of the existing estimators. Moreover, the generalized estimator achieves more than three times as small standard errors as those of the existing robust estimator.
Keywords:
CORRELATED RANDOM-COEFFICIENT
MODELS
IDENTIFICATION
ESTIMATORS
AVERAGE
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