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Irregular identification of structural models with nonparametric unobserved heterogeneity

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  • Escanciano, Juan Carlos

Abstract

One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behavior (cf. Heckman, 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric unobserved heterogeneity have an infinite efficiency bound in many structural economic models of interest. The paper presents general and precise conditions to prove such results. The usefulness of the theory is demonstrated with several relevant examples in economics, including, among others, the proportion of individuals with severe long term unemployment duration, Average Marginal Effects (AME) in a correlated random coefficient model without monotonicity, and the distribution and quantiles of random coefficients in linear, binary and the popular semiparametric Mixed Logit model.

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  • Escanciano, Juan Carlos, 2023. "Irregular identification of structural models with nonparametric unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 234(1), pages 106-127.
    • Handle: RePEc:eee:econom:v:234:y:2023:i:1:p:106-127
    DOI: 10.1016/j.jeconom.2021.11.016
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    More about this item

    Keywords

    Irregular identification; Semiparametric models; Nonparametric unobserved heterogeneity;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

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