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Low-rank approximations of nonseparable panel models

Author

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  • Hugo Freeman
  • Martin Weidner

Abstract

SummaryWe provide estimation methods for nonseparable panel 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-differences approaches. Numerical examples and an empirical application to the effect of election day registration on voter turnout in the US illustrate the properties and usefulness of our methods.

Suggested Citation

  • Hugo Freeman & Martin Weidner, 2021. "Low-rank approximations of nonseparable panel models," The Econometrics Journal, Royal Economic Society, vol. 24(2), pages 40-77.
    • Handle: RePEc:oup:emjrnl:v:24:y:2021:i:2:p:c40-c77.
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    File URL: http://hdl.handle.net/10.1093/ectj/utab007
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    Cited by:

    1. Hugo Freeman & Martin Weidner, 2021. "Linear Panel Regressions with Two-Way Unobserved Heterogeneity," Papers 2109.11911, arXiv.org, revised Aug 2022.
    2. Anish Agarwal & Vasilis Syrgkanis, 2022. "Synthetic Blip Effects: Generalizing Synthetic Controls for the Dynamic Treatment Regime," Papers 2210.11003, arXiv.org.
    3. Anish Agarwal & Keegan Harris & Justin Whitehouse & Zhiwei Steven Wu, 2023. "Adaptive Principal Component Regression with Applications to Panel Data," Papers 2307.01357, arXiv.org, revised Aug 2024.
    4. Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
    5. Anish Agarwal & Munther Dahleh & Devavrat Shah & Dennis Shen, 2021. "Causal Matrix Completion," Papers 2109.15154, arXiv.org.
    6. Hugo Freeman & Martin Weidner, 2021. "Linear panel regressions with two-way unobserved heterogeneity," CeMMAP working papers CWP39/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Hugo Freeman, 2022. "Linear multidimensional regression with interactive fixed-effects," Papers 2209.11691, arXiv.org, revised Aug 2024.

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