Inference in partially identiﬁed panel data models with interactive fixed eﬀects
Shengjie Hong (),
Liangjun Su and
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Shengjie Hong: School of Economics and Management, Tsinghua University
Yaqi Wang: School of Finance, Central University of Finance and Economics
No 14-2019, Economics and Statistics Working Papers from Singapore Management University, School of Economics
This paper develops methods for statistical inferences in a partially identiﬁed nonparametric panel data model with endogeneity and interactive ﬁxed eﬀects. We consider the case where the number of cross-sectional units (N) is large and the number of time series periods (T).as well as the number of unobserved common factors (R) are ﬁxed. Under some normalization rules, wecan concentrateout thelarge dimen-sional parameter vector of factor loadings and specify a set of conditional moment restriction that are involved with only the ﬁnite dimensional factor parameters along with the inﬁnite dimensional nonpara-metric component. For a conjectured restriction on the parameter, we consider testing the null hypothesis that the restriction is satisﬁed by at least one element in the identiﬁed set and propose a test statistic based on a novel martingale diﬀerence divergence (MDD) measure for the distance between a conditional expectation object and zero. We derive the limiting distribution of the resultant test statistic under the null and show that it is divergent at rate-N under the global alternative based on the U-process theory. To obtain the critical values for our test, we propose a version of multiplier bootstrap and establish its asymptotic validity. Simulations demonstrate the ﬁnite sample properties of our inference procedure. We apply our method to study Engel curves for major nondurable expenditures in China by using a panel dataset from the China Family Panel Studies (CFPS).
Keywords: Endogeneity; Gaussian chaos process; martingale diﬀerence divergence; multiplier bootstrap; nonparametric IV; partial identiﬁcation; U-processes (search for similar items in EconPapers)
JEL-codes: C12 C14 C23 C26 (search for similar items in EconPapers)
Pages: 53 pages
New Economics Papers: this item is included in nep-ecm, nep-ore and nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:ris:smuesw:2019_014
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