Nonparametric identification in nonseparable panel data models with generalized fixed effects

Stefan Hoderlein () and Halbert White
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Stefan Hoderlein: Institute for Fiscal Studies and Boston College

No CWP33/09, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

This paper is concerned with extending the familiar notion of fixed effects to nonlinear setups with infinite dimensional unobservables like preferences. The main result is that a generalized version of differencing identifies local average structural derivatives (LASDs) in very general nonseparable models, while allowing for arbitrary dependence between the persistent unobservables and the regressors of interest even if there are only two time periods. These quantities specialize to well known objects like the slope coefficient in the semiparametric panel data binary choice model with fixed effects. We extend the basic framework to include dynamics in the regressors and time trends, and show how distributional effects as well as average effects are identified. In addition, we show how to handle endogeneity in the transitory component. Finally, we adapt our results to the semiparametric binary choice model with correlated coefficients, and establish that average structural marginal probabilities are identified. We conclude this paper by applying the last result to a real world data example. Using the PSID, we analyze the way in which the lending restrictions for mortgages eased between 2000 and 2004.

Date: 2009-12-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Nonparametric identification in nonseparable panel data models with generalized fixed effects (2012)
Working Paper: Nonparametric Identification in Nonseparable Panel Data Models with Generalized Fixed Effects (2009)
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