arXiv 3 Oct 2021 · Econometrics
arXiv:2110.00982 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a correlated random coefficient linear panel data model, where regressors can be correlated with time-varying and individual-specific random coefficients through both a fixed effect and a time-varying random shock. I develop a new panel data-based identification method to identify the average partial effect and the local average response function. The identification strategy employs a sufficient statistic to control for the fixed effect and a conditional control variable for the random shock. Conditional on these two controls, the residual variation in the regressors is driven solely by the exogenous instrumental variables, and thus can be exploited to identify the parameters of interest. The constructive identification analysis leads to three-step series estimators, for which I establish rates of convergence and asymptotic normality. To illustrate the method, I estimate a heterogeneous Cobb-Douglas production function for manufacturing firms in China, finding substantial variations in output elasticities across firms.
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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 | Yair Mundlak (1978) On the pooling of time series and cross section data | 1.000 | 6 | 4 | 100% |
| 2 | Laura Liu and Alexandre Poirier and Ji-Liang Shiu (2025) Identification and estimation of partial effects in nonlinear semiparametric panel models | 1.000 | 5 | 4 | 100% |
| 3 | Imbens, Guido W and Newey, Whitney K (2009) Identification and estimation of triangular simultaneous equations models without additivity | 0.964 | 19 | 5 | 89% |
| 4 | Newey, Whitney K and Powell, James L and Vella, Francis (1999) Nonparametric estimation of triangular simultaneous equations models | 0.928 | 4 | 4 | 100% |
| 5 | Ackerberg, Daniel A and Caves, Kevin and Frazer, Garth (2015) Identification properties of recent production function estimators | 0.928 | 4 | 3 | 100% |
| 6 | G. Steven Olley and Ariel Pakes (1996) The dynamics of productivity in the telecommunications equipment industry | 0.843 | 4 | 4 | 75% |
| 7 | James Levinsohn and Amil Petrin (2003) Estimating production functions using inputs to control for unobservables | 0.843 | 3 | 3 | 100% |
| 8 | Altonji, Joseph G and Matzkin, Rosa L (2005) Cross section and panel data estimators for nonseparable models with endogenous regressors | 0.822 | 18 | 4 | 56% |
| 9 | Andrews, Donald W. K (1991) Asymptotic normality of series estimators for nonparametric and semiparametric regression models | 0.811 | 4 | 2 | 100% |
| 10 | Graham, Bryan S and Powell, James L (2012) Identification and estimation of average partial effects in irregular correlated random coefficient panel data models | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 67 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Identification of Semiparametric Panel Multinomial Choice Models with Infinite-Dimensional Fixed Effects | 0.405 | 1 | 1 |