Chapter

Unobserved Heterogeneity

Manuel Arellano

in Panel Data Econometrics

Published in print June 2003 | ISBN: 9780199245284
Published online July 2005 | e-ISBN: 9780191602481 | DOI: http://dx.doi.org/10.1093/0199245282.003.0002

Series: Advanced Texts in Econometrics

 							Unobserved Heterogeneity

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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

Chapter.  10716 words. 

Subjects: Econometrics and Mathematical Economics

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