Related papers: Back to Feedback: Dynamics and Heterogeneity in Pa…
Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identification results under a variety of…
This paper examines the identification and estimation of heterogeneous treatment effects in event studies, emphasizing the importance of both lagged dependent variables and treatment effect heterogeneity. We show that omitting lagged…
Multidimensional heterogeneity and endogeneity are important features of models with multiple treatments. We consider a heterogeneous coefficients model where the outcome is a linear combination of dummy treatment variables, with each…
This paper provides the relevant literature with a complete toolkit for conducting robust estimation and inference about the parameters of interest involved in a high-dimensional panel data framework. Specifically, (1) we allow for…
This paper proposes a novel approach for estimating treatment effects in panel data settings, addressing key limitations of the standard difference-in-differences (DID) approach. The standard approach relies on the parallel trends…
This paper provides a critical examination of the empirical basis of the output convergence debate in the light of recent developments in the analysis of dynamic heterogeneous panels with interactive effects. It shows that popular tools…
We examine identification of differentiated products demand when one has "micro data" linking individual consumers' characteristics and choices. Our model nests standard specifications featuring rich observed and unobserved consumer…
This paper concerns the estimation of linear panel data models with endogenous regressors and a latent group structure in the coefficients. We consider instrumental variables estimation of the group-specific coefficient vector. We show that…
We study linear panel regression models in which the unobserved error term is an unknown smooth function of two-way unobserved fixed effects. In standard additive or interactive fixed effect models the individual specific and time specific…
We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor models. This review differs from others in multiple ways: (1) it…
Statistical inference for large data panels is omnipresent in modern economic applications. An important benefit of panel analysis is the possibility to reduce noise and thus to guarantee stable inference by intersectional pooling. However,…
Panel data allows for the modeling of unobserved heterogeneity, significantly raising the number of nuisance parameters and making high dimensionality a practical issue. Meanwhile, temporal and cross-sectional dependence in panel data…
Economic interactions often occur in networks where heterogeneous agents (such as workers or firms) sort and produce. However, most existing estimation approaches either require the network to be dense, which is at odds with many empirical…
Lancaster (2002} proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it…
Many methods are available for assessing the importance of omitted variables in linear regression. These methods typically make different, non-falsifiable assumptions. Hence the data alone cannot tell us which method is most appropriate.…
Non-linear maps can possess various dynamical behaviors varying from stable steady states and cycles to chaotic oscillations. Most models assume that individuals within a given population are identical ignoring the fundamental role of…
We provide new identification results for panel data models with peer effects operating through unobserved individual heterogeneity. The results apply for general network structures governing peer interactions and allow for correlated…
The problem of endogeneity in statistics and econometrics is often handled by introducing instrumental variables (IV) which fulfill the mean independence assumption, i.e. the unobservable is mean independent of the instruments. When full…
The analysis of network data has gained considerable interest in recent years. This also includes the analysis of large, high-dimensional networks with hundreds and thousands of nodes. While exponential random graph models serve as…
I study peer effects that arise from irreversible decisions in the absence of a standard social equilibrium. I model a latent sequence of decisions in continuous time and obtain a closed-form expression for the likelihood, which allows to…