Identification of a nonparametric panel data model with unobserved heterogeneity and lagged dependent variables

Neşe Yıldız

Economics Letters, 2015, vol. 132, issue C, 133-135

Abstract: Panel data are often used to allow for unobserved individual heterogeneity in econometric models. Recently, in an impressive paper Evdokimov (2010) provided conditions for nonparametric identification and estimation of all structural elements using short panels of a model that allows for heterogeneous marginal effects. In this paper, we show how, under an additional testable assumption, the lagged dependent variables can be allowed to have certain types of explicit ceteris paribus effects on the current period dependent variable in basically the same model studied in Evdokimov (2010).

Keywords: Dynamic panel data; Semiparametric methods; Identification (search for similar items in EconPapers)
JEL-codes: C14 C3 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:132:y:2015:i:c:p:133-135

DOI: 10.1016/j.econlet.2015.04.030

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