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Home | Events Archive | Binarization for Panel Models with Fixed Effects
Seminar

Binarization for Panel Models with Fixed Effects


  • Series
    Seminars Econometric Institute
  • Speakers
    Chris Muris (Bristol University, United Kingdom)
  • Field
    Econometrics
  • Location
    Erasmus University Rotterdam, Polak Building Room 1-10
    Rotterdam
  • Date and time

    April 25, 2019
    14:00 - 15:00

Abstract

Abstract In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification difficulties for structural parameters and partial effects. Existing solutions are model-specific, likelihood-based, impose time homogeneity, or restrict the distribution of unobserved heterogeneity. We provide new identification results for the structural function and for partial effects in a large class of Fixed Effects Linear Transformation (FELT) models with unknown, time-varying, weakly monotone transformation functions. Our results accommodate continuous and discrete outcomes and covariates, require only two time periods, and impose no parametric distributional assumptions. First, we provide a systematic solution to the incidental parameter problem in FELT. Second, we identify the distribution of counterfactual outcomes and a menu of time-varying partial effects without any assumptions on the distribution of unobserved heterogeneity. Third, we obtain new results for nonlinear difference-in-differences that accommodate both discrete and censored outcomes, and for FELT with random coefficients. Finally, we propose rank- and likelihood-based estimators that achieve \sqrt{n} rate of convergence.