The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Identifying Distributional Characteristics in Random Coefficients Panel Data Models
Abstract
We study the identification of panel models with linear individual-specific coefficients, when T is fixed. We show identification of the variance of the effects under conditional uncorrelatedness. Identification requires restricted dependence of errors, reflecting a trade-off between heterogeneity and error dynamics. We show identification of the density of individual effects when errors follow an ARMA process under conditional independence. We discuss GMM estimation of moments of effects and errors, and introduce a simple density estimator of a slope effect in a special case. As an application we estimate the effect that a mother smokes during pregnancy on child's birth weight.
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Cites
Another look at the instrumental variable estimation of error-components models
Arellano, M., & Bover, O. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01642-d · Cited by 19,880
Self-citationMicroeconometrics: Methods and Applications
Cameron, A. C., & Trivedi, P. K. (2005) · doi:10.1017/cbo9780511811241 · Cited by 8,092
Cited by
Grouped Patterns of Heterogeneity in Panel Data
Bonhomme, S., & Manresa, E. (2015) · Econometrica · doi:10.3982/ecta11319 · Cited by 451
Self-citationTime-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
Gagliardini, P., Ossola, E., & Scaillet, O. (2016) · Econometrica · doi:10.3982/ecta11069 · Cited by 278
Leave‐Out Estimation of Variance Components
Kline, P., Saggio, R., & Sølvsten, M. (2020) · Econometrica · doi:10.3982/ecta16410 · Cited by 186
Causal models for longitudinal and panel data: a survey
Arkhangelsky, D., & Imbens, G. (2024) · The Econometrics Journal · doi:10.1093/ectj/utae014 · Cited by 50
Metadata
- Authors
- Arellano, M., & Bonhomme, S.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2011-12-13
- Volume
- 79
- Issue
- 3
- Pages
- 987-1020
- ISSN
- 0034-6527 (ISSN-L)
- 1467-937X
- OpenAlex
- W2155974290
- Cited by
- 158
- References
- 2
- FWCI
- 19.32
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
