Stéphane Bonhomme, Kevin Dano, Bryan S. Graham
arXiv 14 Jun 2025 · Econometrics · 1 citations (OpenAlex)
arXiv:2506.12569 · PDF · DOI · OpenAlex · Extracted main text
Many panel data methods, while allowing for general dependence between covariates and time-invariant agent-specific heterogeneity, place strong a priori restrictions on feedback: how past outcomes, covariates, and heterogeneity map into future covariate levels. Ruling out feedback entirely, as often occurs in practice, is unattractive in many dynamic economic settings. We provide a general characterization of all feedback and heterogeneity robust (FHR) moment conditions for nonlinear panel data models and present constructive methods to derive feasible moment-based estimators for specific models. We also use our moment characterization to compute semiparametric efficiency bounds, allowing for a quantification of the information loss associated with accommodating feedback, as well as providing insight into how to construct estimators with good efficiency properties in practice. Our results apply both to the finite dimensional parameter indexing the parametric part of the model as well as to estimands that involve averages over the distribution of unobserved heterogeneity. We illustrate our methods by providing a complete characterization of all FHR moment functions in the multi-spell mixed proportional hazards model. We compute efficient moment functions for both model parameters and average effects in this setting.
appendix boundary found by appendix_command · 49% 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 | Chamberlain, G (1992) Comment: sequential moment restrictions in panel data | 1.000 | 6 | 4 | 100% |
| 2 | Chamberlain, G (2022) Feedback in panel data models | 1.000 | 6 | 4 | 100% |
| 3 | Bonhomme, S., Dano, K., and Graham, B. S (2023) Identification in a binary choice panel data model with a predetermined covariate self | 1.000 | 6 | 3 | 100% |
| 4 | Wooldridge, J. M (1997) Multiplicative panel data models without the strict exogeneity assumption | 1.000 | 5 | 4 | 100% |
| 5 | Newey, W. K (1990) Semiparametric efficiency bounds | 0.941 | 6 | 3 | 83% |
| 6 | Bonhomme, S (2012) Functional differencing self | 0.928 | 4 | 3 | 100% |
| 7 | Hahn, J (1994) The efficiency bound of the mixed proportional hazard model | 0.843 | 15 | 6 | 60% |
| 8 | Arellano, M. and Bover, O (1995) Another look at the instrumental variable estimation of error-components models | 0.811 | 4 | 2 | 100% |
| 9 | Arellano, M. and Honoré, B (2001) Panel data models: some recent developments | 0.811 | 4 | 2 | 100% |
| 10 | Brown, B. W. and Newey, W. K (1998) Efficient semiparametric estimation of expectations | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 71 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.