Partial effects in non-linear panel data models with correlated random effects

Jason Abrevaya and Yu-Chin Hsu

The Econometrics Journal, 2021, vol. 24, issue 3, 519-535

Abstract: SummaryNonlinearity and heterogeneity are known to cause difficulties in estimating and interpreting partial effects. This paper provides a systematic characterization of the various partial effects in nonlinear panel data models that might be of interest to empirical researchers. The interpretation of the partial effects depends upon (i) whether the distribution of unobserved heterogeneity is treated as fixed or allowed to vary with covariates, and (ii) whether one is interested in particular covariate values or an average over such values. The characterization covers partial-effects concepts already in the literature but also includes new concepts for partial effects. A simple panel probit design highlights that the different partial effects can be quantitatively very different.

Keywords: Non-linear panel data models; partial effects; correlated random effects (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:oup:emjrnl:v:24:y:2021:i:3:p:519-535.

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