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Low-Rank Approximations of Nonseparable Panel Models

Author

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  • Iv'an Fern'andez-Val
  • Hugo Freeman
  • Martin Weidner

Abstract

We provide estimation methods for panel nonseparable models based on low-rank factor structure approximations. The factor structures are estimated by matrix-completion methods to deal with the computational challenges of principal component analysis in the presence of missing data. We show that the resulting estimators are consistent in large panels, but suffer from approximation and shrinkage biases. We correct these biases using matching and difference-in-difference approaches. Numerical examples and an empirical application to the effect of election day registration on voter turnout in the U.S. illustrate the properties and usefulness of our methods.

Suggested Citation

  • Iv'an Fern'andez-Val & Hugo Freeman & Martin Weidner, 2020. "Low-Rank Approximations of Nonseparable Panel Models," Papers 2010.12439, arXiv.org.
  • Handle: RePEc:arx:papers:2010.12439
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    File URL: http://arxiv.org/pdf/2010.12439
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    References listed on IDEAS

    as
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