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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…
We develop a dynamic model of discrete choice that incorporates peer effects into random consideration sets. We characterize the equilibrium behavior and study the empirical content of the model. In our setup, changes in the choices of…
In this paper we investigate panel regression models with interactive fixed effects. We propose two new estimation methods that are based on minimizing convex objective functions. The first method minimizes the sum of squared residuals with…
Many recent studies use individual longitudinal data to analyze job search behaviors. Such data allow the use of fixed-effects models, which supposedly address the issue of dynamic selection and make it possible to identify the structural…
This paper focuses on price-based residential demand response implemented through dynamic adjustments of electricity prices during DR events. It extends existing DR models to a stochastic framework in which customer response is represented…
The coefficient of determination is well defined for linear models and its extension is long wanted for mixed-effects models. We revisit its extension to define measures for proportions of variation explained by the whole model, fixed…
We present a method for active inference with partial observations in stochastic systems through incentive design, also known as the leader-follower game. Consider a leader agent who aims to infer a follower agent's type given a finite set…
Many economic models feature moment conditions that involve latent variables. When the latent variables are individual fixed effects in an auxiliary panel data regression, we construct orthogonal moments that eliminate first-order bias…
Fixed effect estimators of nonlinear panel data models suffer from the incidental parameter problem. This leads to two undesirable consequences in applied research: (1) point estimates are subject to large biases, and (2) confidence…
We consider a correlated random coefficient panel data model with two-way fixed effects and interactive fixed effects in a fixed T framework. We propose a two-way mean group (TW-MG) estimator for the expected value of the slope coefficient…
Interactive fixed effects are routinely controlled for in linear panel models. While an analogous fixed effects (FE) estimator for nonlinear models has been available in the literature (Chen, Fernandez-Val and Weidner, 2021), it sees much…
We develop a new approach to estimating flexible demand models with exogenous supply-side shocks. Our approach avoids conventional assumptions of exogenous product characteristics, putting no restrictions on product entry, despite using…
This paper investigates a partially linear spatial autoregressive panel data model that incorporates fixed effects, constant and time-varying regression coefficients, and a time-varying spatial lag coefficient. A two-stage least squares…
Choice modeling is at the core of understanding how changes to the competitive landscape affect consumer choices and reshape market equilibria. In this paper, we propose a fundamental characterization of choice functions that encompasses a…
Nonparametric regression models with locally stationary covariates have received increasing interest in recent years. As a nice relief of "curse of dimensionality" induced by large dimension of covariates, additive regression model is…
Linear mixed-effects models are widely used in analyzing clustered or repeated measures data. We propose a quasi-likelihood approach for estimation and inference of the unknown parameters in linear mixed-effects models with high-dimensional…
Dynamic logit models are popular tools in economics to measure state dependence. This paper introduces a new method to derive moment restrictions in a large class of such models with strictly exogenous regressors and fixed effects. We…
Estimating consumer preferences is central to many problems in economics and marketing. This paper develops a flexible framework for learning individual preferences from partial ranking information by interpreting observed rankings as…
The past 20 years have brought fundamental advances in modeling unobserved heterogeneity in panel data. Interactive Fixed Effects (IFE) proved to be a foundational framework, generalizing the standard one-way and two-way fixed effects…
This study proposes a framework for estimating demand in differentiated product markets with high dimensional product characteristics, building upon the seminal Berry, Levinsohn, and Pakes (1995) model, using market level data. We allow for…