- Personal website and CV:
https://martinmugnier.github.io/
- Email address:
martin.mugnier@ensae.fr
- References:
Professor Xavier D’Haultfoeuille, CREST – ENSAE
Professor Stéphane Bonhomme, The University of Chicago
Professor Laurent Davezies, CREST – ENSAE
- Research field:
Econometrics (theory and applications)
- JMP:
Title: Unobserved Clusters of Time-Varying Heterogeneity in Nonlinear Panel Data Models
Link: https://drive.google.com/file/d/1KhmV8tOcoGdIMMpQ4aaw0ddvyeL5tG4V/view?usp=sharing
- JMP Abstract:
In studies based on longitudinal data, researchers often assume time-invariant unobserved heterogeneity or linear-in-parameters conditional expectations. Violation of these assumptions may lead to poor counterfactuals. I study the identification and estimation of a large class of nonlinear grouped fixed effects (NGFE) models where the relationship between observed covariates and cross-sectional unobserved heterogeneity is left unrestricted but the latter only takes a restricted number of paths over time. I show that the corresponding “clusters” and the nonparametrically specified link function can be point-identified when both dimensions of the panel are large. I propose a semiparametric NGFE estimator whose implementation is feasible, and establish its large sample properties in popular binary and count outcome models. Distinctive features of the NGFE estimator are that it is asymptotically normal unbiased at parametric rates, and it allows for the number of periods to grow slowly with the number of cross-sectional units. Monte Carlo simulations suggest good finite sample performance. I apply this new method to revisit the so-called inverted-U relationship between product market competition and innovation. Allowing for clustered patterns of time-varying unobserved heterogeneity leads to a much flatter estimated curve.