On efficient estimation with panel data: An empirical comparison of instrumental variables estimators
复制Cornwell和Rupert(1988)的研究，比较多种工具变量估计量在教育回报面板数据中的效率，发现数据修正后效率提升远低于原报告，且时间虚拟变量保留时经验系数无法通过组内回归估计。
Abstract This paper attempts a replication of the Cornwell and Rupert (1988) study—hereafter CR. The CR study investigated the efficiency gains in a returns to schooling example by applying alternative sets of instrumental variables estimators for panel data regressions proposed by Hausman and Taylor (1981), Amemiya and MaCurdy (1986), and Breusch, Mizon, and Schmidt (1989). Corrections on the CR data set lead to changes in the legitimate set of instruments, when the time dummies are excluded from the regression, and to much lower empirical gains in efficiency than those reported in CR. If the time dummies are retained in the wage equation, the experience coefficient is not estimable by the within regression, and the empirical gains in efficiency from using the IV procedures are not limited to the time‐invariant education coefficient.