Under-identification of structural models based on timing and information set assumptions

Daniel Ackerberg, Garth Frazer, Kyoo il Kim, Yao Luo and Yingjun Su

Journal of Econometrics, 2023, vol. 237, issue 1

Abstract: We revisit identification based on timing and information set assumptions in structural models, which have been used in the context of production functions, demand equations, and hedonic pricing models (e.g. Olley and Pakes, 1996, Blundell and Bond, 2000). First, we demonstrate a general under-identification problem using these assumptions in a simple version of the Blundell–Bond dynamic panel model. In particular, the basic moment conditions can yield multiple discrete solutions: one at the persistence parameter in the main equation and another at the persistence parameter governing the regressor. We then propose a possible solution in the simple setting by enforcing an assumed sign restriction and discuss more general practical advice for empirical researchers using these methods.

Keywords: Production function; Identification; Timing and information set assumptions; Market persistence factor (search for similar items in EconPapers)
JEL-codes: C14 C18 D24 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Under-Identification of Structural Models Based on Timing and Information Set Assumptions (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:237:y:2023:i:1:s0304407623001574

DOI: 10.1016/j.jeconom.2023.04.007

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