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Identifying Distributional Characteristics in Random Coefficients Panel Data Models

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  • Manuel Arellano
  • Stéphane Bonhomme

Abstract

We study the identification of panel models with linear individual-specific coefficients when T is fixed. We show identification of the variance of the effects under conditional uncorrelatedness. Identification requires restricted dependence of errors, reflecting a trade-off between heterogeneity and error dynamics. We show identification of the probability distribution of individual effects when errors follow an Autoregressive Moving Average process under conditional independence. We discuss Generalized Method of Moments estimation of moments of effects and errors and construct non-parametric estimators of their densities. As an application, we estimate the effect that a mother smoking during pregnancy has on her child's birth weight. Copyright , Oxford University Press.

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Bibliographic Info

Article provided by Oxford University Press in its journal The Review of Economic Studies.

Volume (Year): 79 (2012)
Issue (Month): 3 ()
Pages: 987-1020

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Handle: RePEc:oup:restud:v:79:y:2012:i:3:p:987-1020

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Cited by:
  1. Stéphane Bonhomme & Elena Manresa, 2012. "Grouped Patterns Of Heterogeneity In Panel Data," Working Papers, CEMFI wp2012_1208, CEMFI.
  2. Thierry Magnac & Sebastien Roux & Nicolas Pistolesi, 2013. "Post schooling human capital investments and the life cycle variance of earnings," 2013 Meeting Papers, Society for Economic Dynamics 426, Society for Economic Dynamics.
  3. Geert Dhaene & Koen Jochmans, 2010. "Split-panel jackknife estimation of fixed-effect models," Sciences Po publications, Sciences Po info:hdl:2441/eu4vqp9ompq, Sciences Po.
  4. Xavier D'Haultfoeuille & Stefan Hoderlein & Yuya Sasaki, 2013. "Nonlinear Difference-in-Differences in Repeated Cross Sections with Continuous Treatments," Boston College Working Papers in Economics, Boston College Department of Economics 839, Boston College Department of Economics.
  5. Susanne Schennach, 2012. "Measurement error in nonlinear models- a review," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP41/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  6. Stefan Hoderlein & Halbert White, 2009. "Nonparametric identification in nonseparable panel data models with generalized fixed effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP33/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  7. Stefan Hoderlein & Yuya Sasaki, 2011. "On the role of time in nonseparable panel data models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP15/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. Stefan Hoderlein & Robert Sherman, 2012. "Identification And Estimation In A Correlated Random Coefficients Binary Response Model," Boston College Working Papers in Economics, Boston College Department of Economics 837, Boston College Department of Economics.
  9. Evdokimov, Kirill & White, Halbert, 2012. "Some Extensions Of A Lemma Of Kotlarski," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 28(04), pages 925-932, August.

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