Xun Tang, Pei Yu
arXiv 25 Aug 2026 · Econometrics
arXiv:2608.23988 · PDF · Extracted main text
We study dynamic linear panel data models in which the lagged outcomes and strictly exogenous covariates carry individual-specific coefficients and the time-varying errors have a flexible covariance structure. With a fixed number of time periods, we point-identify the joint distribution of the random coefficients and the structural errors under a distributional form of strict exogeneity, and propose a closed-form, multi-step estimator based on the inverse Radon transform. We establish a uniform convergence rate for the estimator of the random coefficient density, as well as uniform consistency of the estimator for the conditional density of the time-varying structural errors. Monte Carlo simulations demonstrate good finite-sample performance of the estimators.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hoderlein, Stefan and Klemelä, Jussi and Mammen, Enno (2010) Analyzing the random coefficient model nonparametrically | 0.965 | 10 | 6 | 90% |
| 2 | Masten, Matthew A (2018) Random coefficients on endogenous variables in simultaneous equations models | 0.891 | 24 | 8 | 71% |
| 3 | Marx, Philip and Tamer, Elie and Tang, Xun (2024) Heterogeneous treatment effects via linear dynamic panel data models self | 0.874 | 8 | 2 | 100% |
| 4 | Arellano, Manuel and Bonhomme, Stéphane (2012) Identifying distributional characteristics in random coefficients panel data models | 0.874 | 5 | 2 | 100% |
| 5 | Bissantz, Nicolai and Holzmann, Hajo and Proksch, Katharina (2014) Confidence regions for images observed under the Radon transform | 0.843 | 4 | 3 | 75% |
| 6 | Graham, Bryan S. and Powell, James L (2012) Identification and estimation of average partial effects in “irregular” correlated random coefficient panel data models | 0.737 | 5 | 3 | 40% |
| 7 | Arellano, Manuel and Bond, Stephen (1991) Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations | 0.737 | 3 | 2 | 100% |
| 8 | Arellano, Manuel and Honoré, Bo (2001) Panel data models: Some recent developments | 0.644 | 2 | 2 | 100% |
| 9 | Blundell, Richard and Bond, Stephen (1998) Initial conditions and moment restrictions in dynamic panel data models | 0.644 | 2 | 2 | 100% |
| 10 | Liu, Laura and Moon, Hyungsik Roger and Schorfheide, Frank (2020) Forecasting with dynamic panel data models | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 46 scored citations.