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Estimation of random coefficients logit demand models with interactive fixed effects
Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - 2012
We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discretechoice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...
Persistent link: https://www.econbiz.de/10009521645
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Earnings and consumption dynamics : a nonlinear panel data framework
Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - 2015
We develop a new quantile-based panel data framework to study the nature of income persistence and the transmission of income shocks to consumption. Log-earnings are the sum of a general Markovian persistent component and a transitory innovation. The persistence of past shocks to earnings is...
Persistent link: https://www.econbiz.de/10011326266
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Estimation of random coefficients logit demand models with interactive fixed effects
Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - 2014 - This draft: April 22, 2014
We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discrete choice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...
Persistent link: https://www.econbiz.de/10010345243
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A quantile correlated random coefficients panel data model
Graham, Bryan S.; Hahn, Jinyong; Poirier, Alexandre; … - 2016
We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel data. Specifically, we extend the correlated random coefficients representation of linear quantile regression (e.g., Koenker, 2005; Section 2.6). We show that panel data allows the...
Persistent link: https://www.econbiz.de/10011524832
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Nonlinear panel data methods for dynamic heterogeneous agent models
Arellanoy, Manuel; Bonhommez, Stéphane - 2016
class of structural dynamic models with heterogeneous agents. We show how such reduced forms may be used to document policy …-relevant derivative effects, and to improve the understanding and facilitate the implementation of structural models. …
Persistent link: https://www.econbiz.de/10011553118
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Inference in high dimensional panel models with an application to gun control
Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2014 - This version is of November 24, 2014
We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in … data instrumental variables models with fixed effects and many instruments. An input to developing the properties of our …
Persistent link: https://www.econbiz.de/10010459263
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Quantile regression with panel data
Graham, Bryan S.; Hahn, Jinyong; Poirier, Alexandre; … - 2015
We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel data. Specifically, we extend the correlated random coefficients representation of linear quantile regression (e.g., Koenker, 2005; Section 2.6). We show that panel data allows the...
Persistent link: https://www.econbiz.de/10010494997
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Classification of nonparametric regression functions in heterogeneous panels
Vogt, Michael; Linton, Oliver - 2015
We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it is natural to impose a group structure on the regression curves. Specifically, we may suppose that the observed individuals can be grouped into a number of classes whose members...
Persistent link: https://www.econbiz.de/10010480933
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Dynamic heterogeneous distribution regression panel models, with an application to labor income processes
Fernández-Val, Iván; Gao, Wayne Yuan; Liao, Yuan; … - 2022
We consider estimation of a dynamic distribution regression panel data model with heterogeneous coefficients across units. The objects of interest are functionals of these coefficients including linear projections on unit level covariates. We also consider predicted actual and stationary...
Persistent link: https://www.econbiz.de/10013173197
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Binarization for panel models with fixed effects
Botosaru, Irene; Muris, Chris - 2017
In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification … of Fixed Effects Linear Transformation (FELT) models with unknown, time-varying, weakly mono- tone transformation … binarization, which transforms FELT into many binary choice models. Second, we identify the distribution of counter- factual …
Persistent link: https://www.econbiz.de/10011662786