Estimating Dynamic Models from Repeated Cross-Sections

39 Pages Posted: 3 Sep 2004

See all articles by Marno Verbeek

Marno Verbeek

Erasmus University - Rotterdam School of Management; Erasmus Research Institute of Management (ERIM); Netspar

Francis Vella

Georgetown University; IZA Institute of Labor Economics

Multiple version iconThere are 2 versions of this paper

Date Written: May 10, 2004

Abstract

An important feature of panel data is that it allows the estimation of parameters characterizing dynamics from individual level data. Several authors argue that such parameters can also be identified from repeated cross-section data and present estimators to do so. This paper reviews the identification conditions underlying these estimators. As grouping data to obtain a pseudo-panel is an application of instrumental variables (IV), identification requires that standard IV conditions are met. This paper explicitly discusses the implications of these conditions for empirical analyses. We also propose a computationally attractive instrumental variables estimator that is consistent under essentially the same conditions as existing estimators. While a Monte Carlo study indicates that this estimator may work well under relatively weak conditions, these conditions are not trivially satisfied in applied work. Accordingly, a key conclusion of the paper is that these estimators cannot be implemented under general conditions.

Keywords: Repeated cross-sections, pseudo panel, cohorts, IV

JEL Classification: C21, C23, C81

Suggested Citation

Verbeek, Marno and Vella, Francis, Estimating Dynamic Models from Repeated Cross-Sections (May 10, 2004). Available at SSRN: https://ssrn.com/abstract=585561 or http://dx.doi.org/10.2139/ssrn.585561

Marno Verbeek (Contact Author)

Erasmus University - Rotterdam School of Management ( email )

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3000 DR Rotterdam
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HOME PAGE: http://www.rsm.nl/mverbeek

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Netspar

P.O. Box 90153
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Netherlands

Francis Vella

Georgetown University ( email )

Washington, DC 20057
United States
202-687-5573 (Phone)

HOME PAGE: http://explore.georgetown.edu/people/fgv/

IZA Institute of Labor Economics

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Germany

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