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Fixed Effects Nonlinear Panel Models with Heterogeneous Slopes : Identification and Consistency

Author

Listed:
  • Mugnier, Martin

    (Paris School of Economics)

  • Wang, Ao

    (University of Warwick and CAGE Research Centre)

Abstract

We study a class of two-way fixed effects index function models with a nonparametric link function and individual- (or time-) specific slopes. Our model alleviates potential misspecification errors due to the common practice of specifying a known link function such as Gaussian and its tail behavior. It also enables to incorporate richer unobserved heterogeneity in the marginal effects of covariates via heterogeneous slopes across individuals. We show the identification of the link function as well as the slopes and fixed effects parameters when both individual and time dimensions are large. We propose a nonparametric consistency result for the fixed effects sieve maximum likelihood estimators. Finally, we apply our method to the study of establishing exportation and illustrate the consequences of imposing Gaussian link function and homogeneity on the slope of distance.

Suggested Citation

  • Mugnier, Martin & Wang, Ao, 2024. "Fixed Effects Nonlinear Panel Models with Heterogeneous Slopes : Identification and Consistency," The Warwick Economics Research Paper Series (TWERPS) 1531, University of Warwick, Department of Economics.
    • Handle: RePEc:wrk:warwec:1531
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    References listed on IDEAS

    as
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    8. Gao, Wayne Yuan, 2020. "Nonparametric identification in index models of link formation," Journal of Econometrics, Elsevier, vol. 215(2), pages 399-413.
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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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