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Panel Data Econometrics$
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Manuel Arellano

Print publication date: 2003

Print ISBN-13: 9780199245284

Published to Oxford Scholarship Online: July 2005

DOI: 10.1093/0199245282.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 01 August 2021

Unobserved Heterogeneity

Unobserved Heterogeneity

Chapter:
(p.7) 2 Unobserved Heterogeneity
Source:
Panel Data Econometrics
Author(s):

Manuel Arellano

Publisher:
Oxford University Press
DOI:10.1093/0199245282.003.0002

Unobserved heterogeneity is one instance in where correlation between observables and unobservables may be expected. This has been a pervasive problem in cross-sectional analysis. A major motivation for using panel data has been the ability to control from the possibly correlated, time-invariant heterogeneity without observing it. This chapter analyses fixed effects models, heteroskedasticity and serial correlation, likelihood approaches, and nonlinear models with additive effects.

Keywords:   unobserved heterogeneity, panel data econometrics, observables, unobservables, cross-sectional analysis

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