Low-Rank Approximations of Nonseparable Panel Models

Iv\'an Fern\'andez-Val, Hugo Freeman and Martin Weidner

Papers from arXiv.org

Abstract: We provide estimation methods for nonseparable panel models based on low-rank factor structure approximations. The factor structures are estimated by matrix-completion methods to deal with the computational challenges of principal component analysis in the presence of missing data. We show that the resulting estimators are consistent in large panels, but suffer from approximation and shrinkage biases. We correct these biases using matching and difference-in-differences approaches. Numerical examples and an empirical application to the effect of election day registration on voter turnout in the U.S. illustrate the properties and usefulness of our methods.

Date: 2020-10, Revised 2021-03
New Economics Papers: this item is included in nep-ecm
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