Identification and Estimation of Nonlinear Dynamic Panel Data Models with Unobserved Covariates

Ji-Liang Shiu and Yingyao Hu

Economics Working Paper Archive from The Johns Hopkins University,Department of Economics

Abstract: This paper considers nonparametric identification of nonlinear dynamic models for panel data with unobserved voariates. Including such unobserved covariates may control for both the individual-specific unobserved heterogeneity and the endogeneity of the explanatory variables. Without specifying the distribution of the initial condition with the unobserved variables, we show that the models are nonparametrically identified from three periods of data. The main identifying assumption requires the evolution of the observed covariates depends on the unobserved covariates but not on the lagged dependent variable. We also propose a sieve maximum likelihood estimator (MLE) and focus on two classes of nonlinear dynamic panel data models, i.e., dynamic discrete choice models and dynamic censored models. We present the asymptotic property of the sieve MLE and investigate the finite sample properties of these sieve-based estimator through a Monte Carlo study. An intertemporal female labor force participation model is estimated as an empirical illustration using a sample from the Panel Study of Income Dynamics (PSID).

Date: 2010-04
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.econ2.jhu.edu/REPEC/papers/wp557.pdf (application/pdf)

Related works:
Journal Article: Identification and estimation of nonlinear dynamic panel data models with unobserved covariates (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jhu:papers:557

Access Statistics for this paper

More papers in Economics Working Paper Archive from The Johns Hopkins University,Department of Economics 3400 North Charles Street Baltimore, MD 21218. Contact information at EDIRC.
Bibliographic data for series maintained by Humphrey Muturi ().