Heterogeneity and selection in dynamic panel data

Yuya Sasaki

Journal of Econometrics, 2015, vol. 188, issue 1, 236-249

Abstract: The data generating process (DGP) for generic dynamic panel data consists of a law of state dynamics g, a selection or attrition rule h, and an initial condition F. I study nonparametric identifiability of this complete DGP (g,h,F) using short unbalanced panel data, allowing for nonseparability between observed states and unobserved heterogeneity in each of g, h and F. For T⩾3, the DGP is identified by using a proxy variable. For T⩾6, the three additional periods construct a proxy, and thus the DGP is identified without an auxiliary variable.

Keywords: Dynamic panel data; Heterogeneity; Selection; Initial conditions problem (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:188:y:2015:i:1:p:236-249

DOI: 10.1016/j.jeconom.2015.05.002

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