Feedback in panel data models

A-Tier
Journal: Journal of Econometrics
Year: 2022
Volume: 226
Issue: 1
Pages: 4-20

Score contribution per author:

4.036 = (α=2.02 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Much of the analysis of panel data has been based on an assumption of strict exogeneity. Distributions are specified for outcome variables conditional on a latent individual effect and conditional on observed predictor variables at all dates, with the future values of the predictor variables assumed to have no effect on the conditional distribution. The paper relaxes this assumption in order to allow for lagged dependent variables and, more generally, for feedback from lagged dependent variables to current values of the predictor variables. Such feedback would arise in an evaluation study if the treatment variable is randomly assigned only conditional on the individual effect and on previous outcomes.

Technical Details

RePEc Handle
repec:eee:econom:v:226:y:2022:i:1:p:4-20
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25