Arbeitspapier
Robust analysis of short panels
Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed effects" and, in dynamic models, initial conditions. This paper presents a generally applicable method for characterizing sharp identified sets when models place no restrictions on the probability distribution of certain latent variables and no restrictions on their covariation with other variables. In our analysis latent variables on which restrictions are undesirable are removed, leading to econometric analysis robust to misspecification of restrictions on their distributions which are commonplace in the applied panel data literature. Endogenous explanatory variables are easily accommodated. Examples of application to some static and dynamic binary, ordered and multiple discrete choice and censored panel data models are presented.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP01/24
- Klassifikation
-
Wirtschaft
- Thema
-
Panel
Robust procedure
Panel
Robustes Verfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chesher, Andrew
Rosen, Adam M.
Zhang, Yuanqi
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2024
- DOI
-
doi:10.47004/wp.cem.2024.0124
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chesher, Andrew
- Rosen, Adam M.
- Zhang, Yuanqi
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2024
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