Article,
Estimating dynamic models from repeated cross-sections
Journal of Econometrics, 127 (1): 83 - 102 (2005)
DOI: 10.1016/j.jeconom.2004.06.004
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 IV 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.
