Bunting, Jackson; Diegert, Paul; Maurel, Arnaud - 2025
types of unobservables: known heterogeneity, initially unknown heterogeneity that may be revealed over time, and transitory … standard assumption that unknown heterogeneity and uncertainty are normally distributed. We also show that, absent known … heterogeneity, the model is identified without making any distributional assumption. We then derive the asymptotic properties of a …