Andrew Chesher, Adam M. Rosen, Yuanqi Zhang
arXiv 12 Jan 2024 · Econometrics
arXiv:2401.06611 · PDF · DOI · OpenAlex · Extracted main text
Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed effects" and, in dynamic models, initial conditions. This paper presents a generally applicable method for characterizing sharp identified sets when models place no restrictions on the probability distribution of certain latent variables and no restrictions on their covariation with other variables. In our analysis latent variables on which restrictions are undesirable are removed, leading to econometric analysis robust to misspecification of restrictions on their distributions which are commonplace in the applied panel data literature. Endogenous explanatory variables are easily accommodated. Examples of application to some static and dynamic binary, ordered and multiple discrete choice and censored panel data models are presented.
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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 | Aristodemou (2021) Semiparametric identification in panel data discrete response models | 0.950 | 7 | 4 | 86% |
| 2 | Chesher and Rosen (2017) Generalized instrumental variable models | 0.737 | 3 | 3 | 67% |
| 3 | Honoré, Muris, and Weidner (2023) Dynamic ordered panel logit models | 0.737 | 3 | 2 | 100% |
| 4 | Chamberlain (2010) Binary response models for panel data: Identification and information | 0.644 | 2 | 2 | 100% |
| 5 | Honoré and De Paula (2021) Identification in simple binary outcome panel data models | 0.644 | 2 | 2 | 100% |
| 6 | Chernozhukov, Fernandez-Val, Hahn, and Newey (2013) Average and Quantile Effects in Nonseparable Panel Models | 0.511 | 2 | 1 | 100% |
| 7 | Chesher, Rosen, and Smolinski (2013) An Instrumental Variable Model of Multiple Discrete Choice | 0.511 | 2 | 1 | 100% |
| 8 | Neyman and Scott (1948) Consistent Estimates Based on Partially Consistent Observations | 0.511 | 2 | 1 | 100% |
| 9 | Honoré and Weidner (2022) Moment conditions for dynamic panel logit models with fixed effects | 0.511 | 2 | 1 | 100% |
| 10 | Beresteanu, Molchanov, and Molinari (2011) Sharp Identification Regions in Models with Convex Moment Predictions | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 48 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Universal Inference for Incomplete Discrete Choice Models | 0.737 | 3 | 2 |
| 2 | Moment Restrictions for Nonlinear Panel Data Models with Feedback | 0.405 | 1 | 1 |
| 3 | Back to Feedback Dynamics and Heterogeneity in Panel Data | 0.405 | 1 | 1 |