What’s New in Econometrics?
Lecture 2
Linear Panel Data Models
Jeff Wooldridge
NBER Summer Institute, 2007
1. Overview of the Basic Model
2. New Insights Into Old Estimators
3. Behavior of Estimators without Strict Exogeneity
4. IV Estimation under Sequential Exogeneity
5. Pseudo Panels from Pooled Cross Sections
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1
.
Overview of the Basic Model
∙
Unless stated otherwise, the methods discussed in
these slides are for the case with a large cross
section and small time series.
∙
For a generic
i
in the population,
y
it
t
x
it
c
i
u
it
,
t
1,...,
T
,
(1)
where
t
is a separate time period intercept,
x
it
is a
1
K
vector of explanatory variables,
c
i
is the
timeconstant unobserved effect, and the
u
it
:
t
1,...,
T
are idiosyncratic errors. We
view the
c
i
as random draws along with the
observed variables.
∙
An attractive assumption is
contemporaneous
exogeneity conditional on c
i
:
E
u
it

x
it
,
c
i
0,
t
1,...,
T
.
(2)
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