Shiu, Ji-Liang; Hu, Yingyao - In: Journal of Econometrics 175 (2013) 2, pp. 116-131
This paper considers nonparametric identification of nonlinear dynamic models for panel data with unobserved covariates. Including such unobserved covariates may control for both the individual-specific unobserved heterogeneity and the endogeneity of the explanatory variables. Without specifying...