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Abstract Details
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Activity Number:
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475
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Type:
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Contributed
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Date/Time:
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Wednesday, August 3, 2011 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #301296 |
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Title:
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Nonlinear Detrending in Panel Models to Estimate Macroeconomic Effects on Mortality
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Author(s):
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Zhen Wang*+ and Edward L. Ionides and Jose A. Tapia Granados
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Companies:
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University of Michigan and University of Michigan and University of Michigan
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Address:
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1085 South Universirty,439 West Hall, ANN ARBOR, MI, 48109,
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Keywords:
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PANEL ;
HP ;
fixed-effect
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Abstract:
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Previous investigations of the effect of macroeconomic conditions on mortality often used fixed-effect panel models applied to mortality rates and unemployment rates in levels (or log-transformed). We show that this type of panel models often generates spatio-temporal patterns of the residuals and therefore violation of the regression model assumptions, that probably bias the effect estimates. Using panel regression models applied to differenced or Hodrick-Prescott detrended data, the high serial correlation of the observations is thoroughly removed and the patterns of the residuals disappear. This kind of panel models applied to previously detrended data of the US states confirm that mortality oscillates procyclically.
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