Related papers: Identification and estimation of dynamic random co…
Longitudinal data tracking repeated measurements on individuals are highly valued for research because they offer controls for unmeasured individual heterogeneity that might otherwise bias results. Random effects or mixed models approaches,…
This paper considers estimating functional-coefficient models in panel quantile regression with individual effects, allowing the cross-sectional and temporal dependence for large panel observations. A latent group structure is imposed on…
The panel data regression models have gained increasing attention in different areas of research including but not limited to econometrics, environmental sciences, epidemiology, behavioral and social sciences. However, the presence of…
This paper studies point identification of the distribution of the coefficients in some random coefficients models with exogenous regressors when their support is a proper subset, possibly discrete but countable. We exhibit trade-offs…
We propose a framework for nonparametric identification and estimation of discrete choice models with unobserved choice sets. We recover the joint distribution of choice sets and preferences from a panel dataset on choices. We assume that…
Distributional effects, captured by quantile frameworks, are well-received for characterizing heterogeneous impacts of economic factors across the unobserved relative ranks. Censored outcome, endogenous regressor and heteroskedastic error…
Panel data models with unobserved heterogeneity in the form of interactive effects standardly assume that the time effects -- or ``common factors'' -- enter linearly. This assumption is restrictive because it concerns an unobserved…
A recent literature in econometrics models unobserved cross-sectional heterogeneity in panel data by assigning each cross-sectional unit a one-dimensional, discrete latent type. Such models have been shown to allow estimation and inference…
The scope of this research is the identification of unknown piecewise constant parameters of linear regression equation under the finite excitation condition. Compared to the known methods, to make the computational burden lower, only one…
Survival regression is widely used to model time-to-events data, to explore how covariates may influence the occurrence of events. Modern datasets often encompass a vast number of covariates across many subjects, with only a subset of the…
In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true…
We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to…
A microscopic dynamic model is here constructed and analyzed, describing the evolution of the income distribution in the presence of taxation and redistribution in a society in which also tax evasion and auditing processes occur. The focus…
We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean…
This paper considers the maximum likelihood estimation of panel data models with interactive effects. Motivated by applications in economics and other social sciences, a notable feature of the model is that the explanatory variables are…
An important question in statistical network analysis is how to estimate models of discrete and dependent network data with intractable likelihood functions, without sacrificing computational scalability and statistical guarantees. We…
One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behaviour (cf. Heckman 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric…
In this paper, we propose a varying coefficient panel data model with unobservable multiple interactive fixed effects that are correlated with the regressors. We approximate each coefficient function by B-spline, and propose a robust…
In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dimension to diverge. From a practical point of view, the…
Difference-in-differences is one of the most used identification strategies in empirical work in economics. This chapter reviews a number of important, recent developments related to difference-in-differences. First, this chapter reviews…