This paper examines the asymptotic properties of the popular within, GLS estimators and the Hausman test for panel data models with both large numbers of cross-section (N) and time-series (T) observations. The model we consider includes the regressors with deterministic trends in mean as well as time invariant regressors. If a time-varying regressor is correlated with time invariant regressors, the time series of the time-varying regressor is not ergodic. Our asymptotic results are obtained considering the dependence of such non-ergodic time-varying regressors. We find that the within estimator is as efficient as the GLS estimator. Despite this asymptotic equivalence, however, the Hausman statistic, which is essentially a distance measure between the two estimators, is well defined and asymptotically chi square-distributed under the random effects assumption.
CITATION STYLE
Ahn, S. C., & Moon, H. R. (2014). Large-N and Large-T Properties of Panel Data Estimators and the Hausman Test. In Festschrift in Honor of Peter Schmidt (pp. 219–258). Springer New York. https://doi.org/10.1007/978-1-4899-8008-3_7
Mendeley helps you to discover research relevant for your work.