Identification of a Heterogeneous Generalized Regression Model with Group Effects

Steven T. Berry () and Philip A. Haile
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Steven T. Berry: Cowles Foundation, Yale University, http://cowles.econ.yale.edu/faculty/berry.htm

No 1732, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: We consider identification in a "generalized regression model" (Han, 1987) for panel settings in which each observation can be associated with a "group" whose members are subject to a common unobserved shock. Common examples of groups include markets, schools or cities. The model is fully nonparametric and allows for the endogeneity of group-specific observables, which might include prices, policies, and/or treatments. The model features heterogeneous responses to observables and unobservables, and arbitrary heteroskedasticity. We provide sufficient conditions for full identification of the model, as well as weaker conditions sufficient for identification of the latent group effects and the distribution of outcomes conditional on covariates and the group effect.

Keywords: Nonparametric identification; Binary choice; Threshold crossing; Censored regression; Proportional hazard model (search for similar items in EconPapers)
JEL-codes: C23 C24 C25 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm and nep-ecm
Date: 2009-10
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