Salle 3001

Bjoern HOEPPNER (Universität Bonn) “Group-Specific Heterogeneity in Short Binary Outcome Panels”

Abstract: When the number of time periods is small, identification of binary outcome panel data models that allow for heterogeneity is inherently difficult. This paper presents identification and estimation results for such models in the presence of latent group-specific heterogeneity. We assume that each unit belongs to a time-invariant latent group, so the joint distribution of the binary outcomes conditional on the covariates is a finite mixture model. Under mild conditions, the group-specific conditional outcome models are fully nonparametrically identified, with identification being possible with as few as two time periods. We also provide conditions under which group-specific average marginal effects are identified. In addition, we develop a novel semiparametric estimator for the setup of interest and study its asymptotic properties. Simulations indicate that the estimator performs well in finite samples. We illustrate the estimation procedure and how to interpret the latent groups empirically in the context of homeownership in Germany.