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Identification of a Heterogeneous Generalized Regression Model with Group Effects

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Abstract

We consider identification in a "generalized regression model" (Han, 1987) for panel settings in which each observation can be associated with a "group" whose members are subject to a common unobserved shock. Common examples of groups include markets, schools or cities. The model is fully nonparametric and allows for the endogeneity of group-specific observables, which might include prices, policies, and/or treatments. The model features heterogeneous responses to observables and unobservables, and arbitrary heteroskedasticity. We provide sufficient conditions for full identification of the model, as well as weaker conditions sufficient for identification of the latent group effects and the distribution of outcomes conditional on covariates and the group effect.

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File URL: http://cowles.econ.yale.edu/P/cd/d17a/d1732.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1732.

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Length: 20 pages
Date of creation: Oct 2009
Date of revision:
Handle: RePEc:cwl:cwldpp:1732

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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: Nonparametric identification; Binary choice; Threshold crossing; Censored regression; Proportional hazard model;

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References

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