Internally Consistent Estimation of Nonlinear Panel Data Models with Correlated Random Effects

Yu-Chin Hsu and Ji-Liang Shiu ()
Additional contact information
Ji-Liang Shiu: Institute for Economic and Social Research, Jinan University

No 17-A002, IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan

Abstract: This paper investigates identification and estimation of semi-parametric nonlinear panel data models with correlated random effects (CRE). It is shown that under the Mundlak-type CRE specification, the average (or integrated) likelihood is the convolution of the proposed models and the conditional distribution of the unobserved heterogeneity. Then the conditional distribution of the unobserved heterogeneity can be recovered by means of Fourier transformation without imposing any distributional assumptions on it. Combining the proposed the conditional distributions of the outcome variables with the recovered distribution of the unobserved heterogeneity, we can construct a parametric family of average likelihood functions of observables and then show that the parameter vector is identifiable. Based on the identification condition, we propose a semi-parametric two-step maximum likelihood estimator which is root-n consistent and asymptotically normal. Compared with the conventional parametric CRE approaches, the advantage of our method is that it is not subject to the function form misspecification. We investigate the finite sample properties of the proposed estimator through a Monte Carlo study and apply our method to determine the persistence effects of union membership.

Keywords: Nonlinear panel data models; Semi-parametric identification; Correlated random effects; Semi-parametric two-step maximum likelihood estimator (search for similar items in EconPapers)
Pages: 49 pages
Date: 2017-01
New Economics Papers: this item is included in nep-ecm
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econ.sinica.edu.tw/~econ/pdfPaper/17-A002.pdf (application/pdf)

Related works:
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:sin:wpaper:17-a002

Access Statistics for this paper

More papers in IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by HsiaoyunLiu ().