Feedback in panel data models

Gary Chamberlain

Journal of Econometrics, 2022, vol. 226, issue 1, 4-20

Abstract: Much of the analysis of panel data has been based on an assumption of strict exogeneity. Distributions are specified for outcome variables conditional on a latent individual effect and conditional on observed predictor variables at all dates, with the future values of the predictor variables assumed to have no effect on the conditional distribution. The paper relaxes this assumption in order to allow for lagged dependent variables and, more generally, for feedback from lagged dependent variables to current values of the predictor variables. Such feedback would arise in an evaluation study if the treatment variable is randomly assigned only conditional on the individual effect and on previous outcomes.

Keywords: Panel data; Dynamic panel data; Sequential moment restrictions; Random coefficients; Semiparametric efficiency bounds (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Feedback in Panel Data Medels (1993)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:226:y:2022:i:1:p:4-20

DOI: 10.1016/j.jeconom.2019.08.018

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