Replication data for: "Fixed Effects Vector Decomposition: Properties, Reliability and Instruments"

This article reinforces our 2007 Political Analysis publication in demonstrating that the fixed effects vector decomposition (FEVD) procedure outperforms any other estimator in estimating models which suffer from the simultaneous presence of time-varying variables correlated with unobserved unit effects and time-invariant variables. We compare the finite sample properties of FEVD not only to the Hausman-Taylor (HT) estimator but also to the pretest estimator and the shrinkage estimator suggested by Breusch et al. (BWNK) in this symposium.

Moreover, we correct Greene’s and BWNK’s discussion of FEVD’s asymptotic and finite sample properties.