Exploiting information from singletons in panel data analysis : a GMM approach

Randolph Luca Bruno, Laura Magazzini, Marco Stampini

We propose a novel procedure, built within a Generalized Method of Moments framework, which exploits unpaired observations (singletons) to increase the efficiency of longitudinal fixed effect estimates. The approach allows increasing estimation efficiency, while properly tackling the bias due to unobserved time-invariant characteristics. We assess its properties by means of Monte Carlo simulations, and apply it to a traditional Total Factor Productivity regression, showing efficiency gains of approximately 8-9 percent.

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Year of publication:	July 2019
Authors:	Bruno, Randolph ; Magazzini, Laura ; Stampini, Marco
Publisher:	Bonn, Germany : IZA - Institute of Labor Economics
Subject:	singletons \| panel data \| efficient estimation \| unobserved heterogeneity \| GMM \| Panel \| Panel study \| Momentenmethode \| Method of moments \| Theorie \| Theory \| Schätzung \| Estimation