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Minimizing sensitivity to model misspecification
Bonhomme, Stéphane; Weidner, Martin - 2018
be partially or irregularly identified. To illustrate our approach we study panel data models where the distribution of …
Persistent link: https://www.econbiz.de/10011912653
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Robust estimation and inference in panels with interactive fixed effects
Armstrong, Timothy B.; Weidner, Martin; Zeleneev, Andrei - 2023
We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We show that previously developed estimators and confidence intervals (CIs) might be heavily biased and size-distorted when some of the factors are weak. We...
Persistent link: https://www.econbiz.de/10014312069
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Posterior average effects
Bonhomme, Stéphane; Weidner, Martin - 2021 - Revised draft: September 2021
Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments of individual fixed-effects, or average partial effects in discrete choice models. For such quantities, we propose and study posterior average effects (PAE), where the average...
Persistent link: https://www.econbiz.de/10012617686
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Posterior average effects
Bonhomme, Stéphane; Weidner, Martin - 2019
Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments of individual fixed-effects, average effects in discrete choice models, or counterfactual simulations in structural models. For such quantities, we propose and study...
Persistent link: https://www.econbiz.de/10012063813
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Posterior average effects
Bonhomme, Stéphane; Weidner, Martin - 2020
Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments of individual fixed-effects, average partial effects in discrete choice models, and counterfactual simulations in structural models. For such quantities, we propose and...
Persistent link: https://www.econbiz.de/10012295267
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Estimation of dynamic linear models in short panels with ordinal observation
Pudney, Stephen E. (contributor) - 2005
Persistent link: https://www.econbiz.de/10002844367
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Robust analysis of short panels
Chesher, Andrew; Rosen, Adam M.; Zhang, Yuanqi - 2024
minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed … commonplace in the applied panel data literature. Endogenous explanatory variables are easily accommodated. Examples of … application to some static and dynamic binary, ordered and multiple discrete choice and censored panel data models are presented. …
Persistent link: https://www.econbiz.de/10014445839
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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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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 …; Section 2.6). We show that panel data allows the econometrician to (i) introduce dependence between the regressors and the … (NLSY79). Consistent with prior work (e.g., Chamberlain, 1982; Vella and Verbeek, 1998), we find that using panel data to …
Persistent link: https://www.econbiz.de/10011524832