Wooyong Lee
arXiv 2 May 2025 · Econometrics
arXiv:2505.01600 · PDF · Extracted main text
I study panel data linear models with predetermined regressors (such as lagged dependent variables) where coefficients are individual-specific, allowing for heterogeneity in the effects of the regressors on the dependent variable. I show that the model is not point-identified in a short panel context but rather partially identified, and I characterize the identified sets for the mean, variance, and CDF of the coefficient distribution. This characterization is general, accommodating discrete, continuous, and unbounded data, and it leads to computationally tractable estimation and inference procedures. I apply the method to study lifecycle earnings dynamics among U.S. households using the Panel Study of Income Dynamics (PSID) dataset. The results suggest substantial unobserved heterogeneity in earnings persistence, implying that households face varying levels of earnings risk which, in turn, contribute to heterogeneity in their consumption and savings behaviors.
appendix boundary found by appendix_command · 57% of the source is main text. Read the extracted text to check this.
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 | Stoye, Jörg (2020) A simple, short, but never-empty confidence interval for partially identified parameters | 0.971 | 12 | 5 | 92% |
| 2 | Guvenen, Fatih (2009) An empirical investigation of labor income processes | 0.971 | 12 | 3 | 92% |
| 3 | Andrews, Donald WK and Shi, Xiaoxia (2017) Inference based on many conditional moment inequalities | 0.902 | 15 | 5 | 73% |
| 4 | Blundell, Richard and Pistaferri, Luigi and Saporta-Eksten, Itay (2016) Consumption inequality and family labor supply | 0.843 | 3 | 3 | 100% |
| 5 | Chamberlain, Gary (1993) Feedback in panel data models | 0.843 | 3 | 3 | 100% |
| 6 | Chamberlain, Gary (2022) Feedback in panel data models | 0.843 | 3 | 3 | 100% |
| 7 | Hall, Robert E and Mishkin, Frederic S (1982) The sensitivity of consumption to transitory income: Estimates from panel data on households | 0.843 | 3 | 3 | 100% |
| 8 | Guvenen, Fatih (2007) Learning your earning: Are labor income shocks really very persistent? | 0.811 | 4 | 2 | 100% |
| 9 | Andrews, Donald WK and Kwon, Soonwoo (2024) Misspecified moment inequality models: Inference and diagnostics | 0.763 | 6 | 2 | 67% |
| 10 | Honoré, Bo E and Tamer, Elie (2006) Bounds on parameters in panel dynamic discrete choice models | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 58 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Back to Feedback Dynamics and Heterogeneity in Panel Data | 0.811 | 4 | 2 |
| 2 | The Projection Solution to the Incidental Parameter Problem | 0.644 | 2 | 2 |
| 3 | Heterogeneous Treatment Effects via Linear Dynamic Panel Data Models | 0.405 | 1 | 1 |
| 4 | Moment Restrictions for Nonlinear Panel Data Models with Feedback | 0.405 | 1 | 1 |