Fixed effects models with time invariant variables: A theoretical note

Ronald L. Oaxaca, Iris Geisler

Research output: Contribution to journalArticle

16 Scopus citations

Abstract

This paper demonstrates the equivalence between a consistent two-stage GLS estimator and the pooled OLS estimator of the coefficients on time invariant covariates in an unbalanced FE panel. In general the estimated standard errors differ between these two procedures.

Original languageEnglish (US)
Pages (from-to)373-377
Number of pages5
JournalEconomics Letters
Volume80
Issue number3
DOIs
StatePublished - Sep 1 2003

Keywords

  • Panel data
  • Time invariant regressors

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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