arXiv 20 Mar 2020 · Econometrics · publishedJournal of Econometrics (2024) · 3 citations (OpenAlex)
arXiv:2003.09367 · PDF · DOI · OpenAlex · Extracted main text
This paper studies a class of linear panel models with random coefficients. We do not restrict the joint distribution of the time-invariant unobserved heterogeneity and the covariates. We investigate identification of the average partial effect (APE) when fixed-effect techniques cannot be used to control for the correlation between the regressors and the time-varying disturbances. Relying on control variables, we develop a constructive two-step identification argument. The first step identifies nonparametrically the conditional expectation of the disturbances given the regressors and the control variables, and the second step uses “between-group” variations, correcting for endogeneity, to identify the APE. We propose a natural semiparametric estimator of the APE, show its $\sqrt{n}$ asymptotic normality and compute its asymptotic variance. The estimator is computationally easy to implement, and Monte Carlo simulations show favorable finite sample properties. Control variables arise in various economic and econometric models, and we propose applications of our argument in several models. As an empirical illustration, we estimate the average elasticity of intertemporal substitution in a labor supply model with random coefficients.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Arellano \ Bonhomme (2012) `Identifying distributional characteristics in random coefficients panel data models', The Review of Economic Studies 79(3), 987… | 1.000 | 9 | 4 | 100% |
| 2 | Chamberlain (1992) `Efficiency bounds for semiparametric regression', Econometrica 60(3), 567–596 | 1.000 | 6 | 3 | 100% |
| 3 | Graham \ Powell (2012) `Identification and estimation of average partial effects in “irregular” correlated random coefficient panel data models', Econo… | 0.961 | 9 | 5 | 89% |
| 4 | Ziliak (1997) `Efficient estimation with panel data when instruments are predetermined: an empirical comparison of moment-condition estimators… | 0.928 | 5 | 3 | 80% |
| 5 | Das, Newey \ Vella (2003) `Nonparametric estimation of sample selection models', The Review of Economic Studies 70(1), 33–58 | 0.874 | 5 | 2 | 100% |
| 6 | Newey, Powell \ Vella (1999) `Nonparametric estimation of triangular simultaneous equations models', Econometrica 67(3), 565–603 | 0.851 | 13 | 4 | 62% |
| 7 | Florens, Heckman, Meghir \ Vytlacil (2008) `Identification of treatment effects using control functions in models with continuous, endogenous treatment and heterogeneous e… | 0.811 | 4 | 2 | 100% |
| 8 | Masten \ Torgovitsky (2016) `Identification of instrumental variable correlated random coefficients models', Review of Economics and Statistics 98(5), 1001–… | 0.811 | 4 | 2 | 100% |
| 9 | Imbens \ Newey (2009) `Identification and estimation of triangular simultaneous equations models without additivity', Econometrica 77(5), 1481–1512 | 0.794 | 16 | 5 | 50% |
| 10 | Hahn, Liao \ Ridder (2018) `Nonparametric two-step sieve m estimation and inference', Econometric Theory pp. 1–44 | 0.737 | 5 | 3 | 40% |
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