What’s New in Econometrics?Lecture 2Linear Panel Data ModelsJeff WooldridgeNBER Summer Institute, 20071. Overview of the Basic Model2. New Insights Into Old Estimators3. Behavior of Estimators without Strict Exogeneity4. IV Estimation under Sequential Exogeneity5. Pseudo Panels from Pooled Cross Sections1
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1.Overview of the Basic Model∙Unless stated otherwise, the methods discussed inthese slides are for the case with a large crosssection and small time series.∙For a genericiin the population,yittxitciuit,t1,...,T,(1)wheretis a separate time period intercept,xitis a1Kvector of explanatory variables,ciis thetime-constant unobserved effect, and theuit:t1,...,Tare idiosyncratic errors. Weview thecias random draws along with theobserved variables.∙An attractive assumption iscontemporaneousexogeneity conditional on ci:Euit|xit,ci0,t1,...,T.(2)2