arXiv 30 Dec 2023 · Econometrics · publishedJournal of Econometrics (2026)
arXiv:2401.00264 · PDF · DOI · OpenAlex · Extracted main text
This paper provides a general identification approach for a wide range of nonlinear panel data models, including binary choice, ordered response, and other types of limited dependent variable models. Our approach accommodates dynamic models with any number of lagged dependent variables as well as other types of endogenous covariates. Our identification strategy relies on a partial stationarity condition, which allows for not only an unknown distribution of errors, but also temporal dependencies in errors. We derive partial identification results under flexible model specifications and establish sharpness of our identified set in the binary choice setting. We demonstrate the robust finite-sample performance of our approach using Monte Carlo simulations, and apply the approach to analyze the empirical application of income categories using various ordered choice models.
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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 | Pakes, A. and J. Porter (2024) Moment inequalities for multinomial choice with fixed effects | 1.000 | 12 | 3 | 100% |
| 2 | Manski, C. F (1987) Semiparametric analysis of random effects linear models from binary panel data | 0.920 | 9 | 3 | 78% |
| 3 | Chernozhukov, V., S. Lee, and A. M. Rosen (2013) Intersection bounds: estimation and inference | 0.811 | 4 | 2 | 100% |
| 4 | Mbakop, E (2023) Identification in Some Discrete Choice Models: A Computational Approach | 0.737 | 3 | 2 | 100% |
| 5 | Chesher, A. and A. M. Rosen (2017) Generalized instrumental variable models | 0.644 | 4 | 1 | 100% |
| 6 | Khan, S., M. Ponomareva, and E. Tamer (2023) Identification of dynamic binary response models | 0.644 | 2 | 2 | 100% |
| 7 | Aristodemou, E (2021) Semiparametric identification in panel data discrete response models | 0.511 | 2 | 1 | 100% |
| 8 | Botosaru, I. and C. Muris (2024) Identification of time-varying counterfactual parameters in nonlinear panel models | 0.511 | 2 | 1 | 100% |
| 9 | Chesher, A., A. Rosen, and Y. Zhang (2023) Identification analysis in models with unrestricted latent variables: Fixed effects and initial conditions, Tech | 0.511 | 2 | 1 | 100% |
| 10 | Shi, X., M. Shum, and W. Song (2018) Estimating Semi-Parametric Panel Multinomial Choice Models Using Cyclic Monotonicity | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 33 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.