F. Vella (Francis)
http://repub.eur.nl/ppl/12093/
List of Publicationsenhttp://repub.eur.nl/eur_signature.png
http://repub.eur.nl/
RePub, Erasmus University RepositoryEstimating Dynamic Models from Repeated Cross-Sections
http://repub.eur.nl/pub/12615/
Fri, 01 Jul 2005 00:00:01 GMT<div>M.J.C.M. Verbeek</div><div>F. Vella</div>
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.Estimating dynamic models from repeated cross-sections
http://repub.eur.nl/pub/582/
Wed, 13 Feb 2002 00:00:01 GMT<div>M.J.C.M. Verbeek</div><div>F. Vella</div>
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 discuss the implications of these conditions
for empirical analyses. We also propose a computationally attractive
instrumental variables estimator that is consistent under a relatively
weak set of conditions. A Monte Carlo study indicates that this
estimator may work well in practice.Estimating and Interpreting Models with Endogenous Treatment Effects
http://repub.eur.nl/pub/12635/
Fri, 01 Jan 1999 00:00:01 GMT<div>F. Vella</div><div>M.J.C.M. Verbeek</div>
The relationship between two alternative approaches, instrumental variables and control function procedures, for estimating the impact of endogenous treatment effects are examined. Although it is well known that the two approaches generate comparable estimates, the relationship between the estimators and their accompanying endogeneity tests appears not to be well understood. It is shown that the two procedures are closely related. The implications of the two procedures for the underlying economic sorting behavior are also examined.Estimating the Returns to Education for Australian Youth via Rank-Order Instrumental Variables
http://repub.eur.nl/pub/12640/
Fri, 01 Jan 1999 00:00:01 GMT<div>S. Rummery</div><div>F. Vella</div><div>M.J.C.M. Verbeek</div>
This paper employs the rank-order instrumental variable (IV) procedure of Vella and Verbeek [Vella, F., Verbeek, M., 1997. Using rank order as an instrumental variable: an application to the return to schooling, CES Discussion Paper 97.10, K.U. Leuven.] to estimate the returns to education for Australian youth. The attraction of this approach is that it can account for the endogeneity of schooling in the wage equation via the use of instrumental variables without the use of exclusion restrictions. We find, after accounting for the endogeneity of schooling, that an additional year of schooling is associated with an increase in wages of approximately 8%. Furthermore, we find that the rank-order IV approach is able to identify the presence of endogeneity in this particular empirical example. However, despite this, the adjusted estimate of how schooling affects wage is close to the ordinary least squares (OLS) estimate.Two-step estimation of panel data models with censored endogenous variables and selection bias
http://repub.eur.nl/pub/12642/
Fri, 01 Jan 1999 00:00:01 GMT<div>F. Vella</div><div>M.J.C.M. Verbeek</div>
This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional explanatory variables in the primary equation. These are obtained through a decomposition of the reduced form residuals. The panel nature of the data allows adjustment, and testing, for two forms of endogeneity and/or sample selection bias. Furthermore, it incorporates roles for dynamics and state dependence in the reduced form. Finally, we provide an empirical illustration which features our procedure and highlights the ability to test several of the underlying assumptions.Whose wages do unions raise? A dynamic model of unionism and wage rate determination for young men
http://repub.eur.nl/pub/12643/
Thu, 01 Jan 1998 00:00:01 GMT<div>F. Vella</div><div>M.J.C.M. Verbeek</div>
We estimate the union premium for young men over a period of declining unionization (1980-87) through a procedure which identifies the alternative sources of the endogeneity of union status. While we estimate the average increase in wages resulting from union employment to be in excess of 20% we find that the return to unobserved heterogeneity operating through union status is substantial and that the union premium is highly variable. We also find that the premium is sensitive to the form of sorting allowed in estimation. Moreover, the data are consistent with comparative advantage sorting. Our results suggest that the unobserved heterogeneity which positively contributes to the likelihood of union membership is associated with higher wages. We are unable, however, to determine whether this is due to the ability of these workers to extract monopoly rents or whether it reflects the more demanding hiring standards of employers faced by union wages.