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SLOW MOVERS IN PANEL DATA

Published online by Cambridge University Press:  07 January 2026

Yuya Sasaki  and
Takuya Ura
Yuya Sasaki*
Affiliation:
Vanderbilt University
Takuya Ura
Affiliation:
University of California Davis
*
Address correspondence to Yuya Sasaki, Department of Economics, Vanderbilt University, Nashville, TN, USA, e-mail: yuya.sasaki@vanderbilt.edu.
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Abstract

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Panel data often contain stayers and slow movers. The literature proposes an estimator for the average partial effects (APEs) for this setting without a formal theory. The literature is also silent about inference in the presence of stayers and many slow movers. We contribute to this state of the art. First, we develop an asymptotic theory to guarantee that such an estimator is consistent in the presence of stayers and slow movers. Second, we propose its standard error. Third, we relax the existing assumption to allow for “many” slow movers. Fourth, we generalize the existing estimator. Fifth, we establish that this generalized estimator can achieve larger extents of bias reduction and hence faster convergence rates. Simulation studies demonstrate that the conventional 95% confidence interval covers the true value of the APE with 37%–93% frequencies whereas our proposed one achieves 93%–96% coverage frequencies. Using the U.S. Panel Study of Income Dynamics, we find that estimates of the marginal propensity to consume based on our generalized estimator remarkably differ in values from those of the existing estimators. Moreover, the generalized estimator achieves more than three times as small standard errors as those of the existing robust estimator.

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Type
ARTICLES
Information
Econometric Theory , First View , pp. 1 - 43
Creative Commons
Creative Common License - CCCreative Common License - BY
This is an Open Access article, distributed under the terms of the Creative Commons Attribution licence (https://creativecommons.org/licenses/by/4.0), which permits unrestricted re-use, distribution and reproduction, provided the original article is properly cited.
Copyright
© The Author(s), 2025. Published by Cambridge University Press

Footnotes

We have benefited from very useful comments by Peter C. B. Phillips (Editor), Martin Weidner (Co-Editor), two anonymous referees, Cheng Hsiao, Ivana Komunjer, M. Hashem Pesaran, Valentin Verdier, seminar participants at CREST-PSE, Georgetown University, London School of Economics, Northwestern University, Ohio State University, Singapore Management University, Texas A&M University, University of Bologna, University of California at Santa Cruz, University of Glasgow, University of North Carolina at Chapel Hill, and the University of Southern California, and participants at numerous conferences. Y.S. thanks Brian and Charlotte Grove for financial support. We are responsible for all the remaining errors.

References

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