Advanced Search
MyIDEAS: Login to save this paper or follow this series

Modeling Heterogeneity

Contents:

Author Info

  • Arthur Lewbel

    ()
    (Boston College)

Abstract

My goal here is to provide some synthesis of recent results regarding unobserved heterogeneity in nonlinear and semiparametric models, using as a context Matzkin (2005a) and Browning and Carro (2005), which were the papers presented in the Modeling Heterogeneity session of the 2005 Econometric Society World Meetings in London. These papers themselves consist of enormously heterogeneous content, ranging from high theory to Danish milk, which I will attempt to homogenize. The overall theme of this literature is that, in models of individual economic agents, errors at least partly reflect unexplained heterogeneity in behavior, and hence in tastes, technologies, etc.,. Economic theory can imply restrictions on the structure of these errors, and in particular can generate nonadditive or nonseparable errors, which has profound implications for model specification, identification, estimation, and policy analysis.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://fmwww.bc.edu/EC-P/wp650.pdf
File Function: main text
Download Restriction: no

Bibliographic Info

Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 650.

as in new window
Length: 13 pages
Date of creation: 04 Sep 2006
Date of revision:
Handle: RePEc:boc:bocoec:650

Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Related research

Keywords: unobserved heterogeneity; nonlinear models; semiparametric models;

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Arthur Lewbel, 1997. "Coherence and Completeness of Structural Models Containing a Dummy Endogenous Variable," Boston College Working Papers in Economics 456, Boston College Department of Economics, revised 04 Sep 2006.
  2. Bresnahan, Timothy F. & Reiss, Peter C., 1991. "Empirical models of discrete games," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 57-81.
  3. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July.
  4. Joseph G. Altonji & Rosa L. Matzkin, 2005. "Cross Section and Panel Data Estimators for Nonseparable Models with Endogenous Regressors," Econometrica, Econometric Society, vol. 73(4), pages 1053-1102, 07.
  5. Muellbauer, John, 1974. "Household composition, Engel curves and welfare comparisons between households : A duality approach," European Economic Review, Elsevier, vol. 5(2), pages 103-122, August.
  6. Soest, Arthur van & Kapteyn, Arie & Kooreman, Peter, 1993. "Coherency and regularity of demand systems with equality and inequality constraints," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 161-188.
  7. Elie Tamer, 2003. "Incomplete Simultaneous Discrete Response Model with Multiple Equilibria," Review of Economic Studies, Wiley Blackwell, vol. 70(1), pages 147-165, January.
  8. Arthur Lewbel & Oliver Linton & D. L. McFadden, 2006. "Estimating features of a distribution from binomial data," LSE Research Online Documents on Economics 4418, London School of Economics and Political Science, LSE Library.
  9. Guido W. Imbens & Whitney K. Newey, 2002. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," NBER Technical Working Papers 0285, National Bureau of Economic Research, Inc.
  10. Lewbel, Arthur, 1989. "Identification and Estimation of Equivalence Scales under Weak Separability," Review of Economic Studies, Wiley Blackwell, vol. 56(2), pages 311-16, April.
  11. Arthur Lewbel, 2001. "Demand Systems with and without Errors," American Economic Review, American Economic Association, vol. 91(3), pages 611-618, June.
  12. Roehrig, Charles S, 1988. "Conditions for Identification in Nonparametric and Parametic Models," Econometrica, Econometric Society, vol. 56(2), pages 433-47, March.
  13. Jinyong Hahn & Whitney Newey, 2003. "Jackknife and analytical bias reduction for nonlinear panel models," CeMMAP working papers CWP17/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  14. Martin Browning & Jesus M. Carro, 2010. "Heterogeneity in dynamic discrete choice models," Econometrics Journal, Royal Economic Society, vol. 13(1), pages 1-39, 02.
  15. Ivar Ekeland & James Heckman & Lars Nesheim, 2002. "Identifying hedonic models," CeMMAP working papers CWP06/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  16. Richard Blundell & James Powell, 2001. "Endogeneity in semiparametric binary response models," CeMMAP working papers CWP05/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  17. Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, vol. 46(4), pages 931-59, July.
  18. Tiemen Woutersen, 2002. "Robustness against Incidental Parameters," UWO Department of Economics Working Papers 20028, University of Western Ontario, Department of Economics.
  19. Brown, Bryan W, 1983. "The Identification Problem in Systems Nonlinear in the Variables," Econometrica, Econometric Society, vol. 51(1), pages 175-96, January.
  20. Andrew Chesher, 2003. "Identification in Nonseparable Models," Econometrica, Econometric Society, vol. 71(5), pages 1405-1441, 09.
  21. Lewbel, Arthur, 1991. "The Rank of Demand Systems: Theory and Nonparametric Estimation," Econometrica, Econometric Society, vol. 59(3), pages 711-30, May.
  22. Gourieroux, C & Laffont, J J & Monfort, A, 1980. "Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes," Econometrica, Econometric Society, vol. 48(3), pages 675-95, April.
  23. Blundell, Richard & Smith, Richard J., 1994. "Coherency and estimation in simultaneous models with censored or qualitative dependent variables," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 355-373.
  24. Donald J. Brown & Rosa L. Matzkin, 1998. "Estimation of Nonparametric Functions in Simultaneous Equations Models, with an Application to Consumer Demand," Cowles Foundation Discussion Papers 1175, Cowles Foundation for Research in Economics, Yale University.
  25. Walter Beckert & Richard Blundell, 2004. "Invertibility of Nonparametric Stochastic Demand Functions," Birkbeck Working Papers in Economics and Finance 0406, Birkbeck, Department of Economics, Mathematics & Statistics.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Yingying Dong & Arthur Lewbel, 2012. "Simple Estimators for Binary Choice Models with Endogenous Regressors," Working Papers 111204, University of California-Irvine, Department of Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:boc:bocoec:650. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.