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Chris MURIS (University of Bristol) – "Binarization for Panel Models with Fixed Effects"

June 4, 2019 @ 12:15 pm - 1:30 pm
The Microeconometrics Seminar: Every Tuesday at 12:15 pm.
Time: 12:15 pm – 1:30 pm
Date: 4 th of June 2019
Place: Room 3001
Chris MURIS (University of Bristol) – “Binarization for Panel Models with Fixed Effects

Abstract: In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification difficulties for structural parameters and partial effects. Existing solutions are model-specific, likelihood-based, impose time homogeneity, or restrict the distribution of unobserved heterogeneity. We provide new identification results for the structural function and for partial effects in a large class of Fixed Effects Linear Transformation (FELT) models with unknown, time-varying, weakly monotone transformation functions. Our results accommodate continuous and discrete outcomes and covariates, require only two time periods, and impose no parametric distributional assumptions. First, we provide a systematic solution to the incidental parameter problem in FELT. Second, we identify the distribution of counterfactual outcomes and a menu of time-varying partial effects without any assumptions on the distribution of unobserved heterogeneity. Third, we obtain new results for nonlinear difference-in-differences that accommodate both discrete and censored outcomes, and for FELT with random coefficients. Finally, we propose rank- and likelihood-based estimators that achieve \sqrt{n} rate of convergence.

Work joint with Irene Botosaru.

Laurent DAVEZIES (Laboratoire de Microéconométrie-CREST)
Benoît SCHMUTZ (Laboratoire de Microéconométrie-CREST)
Arne UHLENDORFF (Laboratoire de Microéconométrie-CREST)