IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Identifying Distributional Characteristics In Random Coefficients Panel Data Models

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 density of individual effects when errors follow an ARMA process under conditional independence. We discuss GMM estimation of moments of effects and errors, and introduce a simple density estimator of a slope effect in a special case. As an application we estimate the effect that a mother smokes during pregnancy on child’s birth weight.

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://www.cemfi.es/ftp/wp/0904.pdf
Download Restriction: no

Paper provided by CEMFI in its series Working Papers with number wp2009_0904.

as
in new window

Length:
Date of creation: Aug 2009
Date of revision:
Handle: RePEc:cmf:wpaper:wp2009_0904
Contact details of provider: Postal: Casado del Alisal, 5, 28014 Madrid
Phone: 914290551
Fax: 914291056
Web page: http://www.cemfi.es/
Email:


More information through EDIRC

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. MaCurdy, Thomas E, 1981. "An Empirical Model of Labor Supply in a Life-Cycle Setting," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1059-85, December.
  2. Dobbelaere, Sabien & Mairesse, Jacques, 2007. "Panel data estimates of the production function and product and labor market imperfections," Working Paper Series 0782, European Central Bank.
  3. Fatih Guvenen, 2007. "An Empirical Investigation of Labor Income Processes," NBER Working Papers 13394, National Bureau of Economic Research, Inc.
  4. Stéphane Bonhomme & Jean-Marc Robin, 2010. "Generalized Non-Parametric Deconvolution with an Application to Earnings Dynamics," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 491-533.
  5. Lillard, Lee A & Weiss, Yoram, 1979. "Components of Variation in Panel Earnings Data: American Scientists, 1960-70," Econometrica, Econometric Society, vol. 47(2), pages 437-54, March.
  6. Murtazashvili, Irina & Wooldridge, Jeffrey M., 2008. "Fixed effects instrumental variables estimation in correlated random coefficient panel data models," Journal of Econometrics, Elsevier, vol. 142(1), pages 539-552, January.
  7. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-23, March.
  8. Arellano, M. & Honore, B., 2000. "Panel Data Models: Some Recent Developments," Papers 0016, Centro de Estudios Monetarios Y Financieros-.
  9. Haider, Steven J, 2001. "Earnings Instability and Earnings Inequality of Males in the United States: 1967-1991," Journal of Labor Economics, University of Chicago Press, vol. 19(4), pages 799-836, October.
  10. Bryan S. Graham & James Powell, 2008. "Identification and Estimation of 'Irregular' Correlated Random Coefficient Models," NBER Working Papers 14469, National Bureau of Economic Research, Inc.
  11. 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.
  12. Baker, Michael, 1997. "Growth-Rate Heterogeneity and the Covariance Structure of Life-Cycle Earnings," Journal of Labor Economics, University of Chicago Press, vol. 15(2), pages 338-75, April.
  13. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291, March.
  14. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Spectral Method for Deconvolving a Density," IDEI Working Papers 138, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2009.
  15. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-95, November.
  16. Jean-Marc Robin & Stéphane Bonhomme, 2009. "Consistent Noisy Independent Component Analysis," Sciences Po publications info:hdl:2441/eu4vqp9ompq, Sciences Po.
  17. Li, Tong & Vuong, Quang, 1998. "Nonparametric Estimation of the Measurement Error Model Using Multiple Indicators," Journal of Multivariate Analysis, Elsevier, vol. 65(2), pages 139-165, May.
  18. Susanne M. Schennach, 2004. "Estimation of Nonlinear Models with Measurement Error," Econometrica, Econometric Society, vol. 72(1), pages 33-75, 01.
  19. Chamberlain, Gary, 1992. "Efficiency Bounds for Semiparametric Regression," Econometrica, Econometric Society, vol. 60(3), pages 567-96, May.
  20. Daniel Aaronson & Lisa Barrow & William Sander, 2002. "Teachers and student achievement in the Chicago public high schools," Working Paper Series WP-02-28, Federal Reserve Bank of Chicago.
  21. Fatih Guvenen, 2006. "Learning your earning: are labor income shocks really very persistent?," Discussion Paper / Institute for Empirical Macroeconomics 145, Federal Reserve Bank of Minneapolis.
  22. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-91, July.
  23. Victor Chernozhukov & Ivan Fernandez-Val & Jinyong Hahn & Whitney Newey, 2008. "Identification and estimation of marginal effects in nonlinear panel models," CeMMAP working papers CWP25/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  24. Jason Abrevaya, 2006. "Estimating the effect of smoking on birth outcomes using a matched panel data approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 489-519.
  25. Rosenzweig, Mark R. & Wolpin, Kenneth I., 1991. "Inequality at birth : The scope for policy intervention," Journal of Econometrics, Elsevier, vol. 50(1-2), pages 205-228, October.
  26. Evans, William N. & Ringel, Jeanne S., 1999. "Can higher cigarette taxes improve birth outcomes?," Journal of Public Economics, Elsevier, vol. 72(1), pages 135-154, April.
  27. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
  28. Chunrong Ai & Xiaohong Chen, 2003. "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions," Econometrica, Econometric Society, vol. 71(6), pages 1795-1843, November.
  29. Abowd, John M & Card, David, 1989. "On the Covariance Structure of Earnings and Hours Changes," Econometrica, Econometric Society, vol. 57(2), pages 411-45, March.
  30. Joel L. Horowitz & Marianthi Markatou, 1993. "Semiparametric Estimation Of Regression Models For Panel Data," Econometrics 9309001, EconWPA.
  31. Cornwell, Christopher & Schmidt, Peter, 1992. "Models for Which the MLE and the Conditional MLE Coincide," Empirical Economics, Springer, vol. 17(1), pages 67-75.
  32. Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, vol. 76(1), pages 195-216, 01.
  33. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  34. Heckman, James J & Smith, Jeffrey, 1997. "Making the Most Out of Programme Evaluations and Social Experiments: Accounting for Heterogeneity in Programme Impacts," Review of Economic Studies, Wiley Blackwell, vol. 64(4), pages 487-535, October.
  35. Hoderlein, Stefan & Klemelä, Jussi & Mammen, Enno, 2010. "Analyzing The Random Coefficient Model Nonparametrically," Econometric Theory, Cambridge University Press, vol. 26(03), pages 804-837, June.
  36. Whitney K. Newey, 2004. "Efficient Semiparametric Estimation via Moment Restrictions," Econometrica, Econometric Society, vol. 72(6), pages 1877-1897, November.
  37. Horowitz, Joel L & Markatou, Marianthi, 1996. "Semiparametric Estimation of Regression Models for Panel Data," Review of Economic Studies, Wiley Blackwell, vol. 63(1), pages 145-68, January.
  38. Jushan Bai, 2009. "Panel Data Models With Interactive Fixed Effects," Econometrica, Econometric Society, vol. 77(4), pages 1229-1279, 07.
  39. Chamberlain, G., 1993. "Feedback in Panel Data Medels," Harvard Institute of Economic Research Working Papers 1656, Harvard - Institute of Economic Research.
  40. Jacques Mairesse & Zvi Griliches, 1988. "Heterogeneity in Panel Data: Are There Stable Production Functions?," NBER Working Papers 2619, National Bureau of Economic Research, Inc.
Full references (including those not matched with items on IDEAS)

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

When requesting a correction, please mention this item's handle: RePEc:cmf:wpaper:wp2009_0904. 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: (Araceli Requerey)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.