Working Paper

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

Authors

Jeffrey M. Wooldridge

Published Date

1 June 2004

Type

Working Paper (CWP04/04)

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.