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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/64789
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Arellano, Manuel | | en_US |
| dc.contributor.author | | Bonhomme, Stéphane | | en_US |
| dc.date.accessioned | | 2012-10-16T13:15:37Z | | - |
| dc.date.available | | 2012-10-16T13:15:37Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.pi | | doi:10.1920/wp.cem.2009.2209 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/64789 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Centre for Microdata Methods and Practice London | | en_US |
| dc.relation.ispartofseries | | cemmap working paper CWP22/09 | | en_US |
| dc.subject.jel | | C23 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | panel data | | en_US |
| dc.subject.keyword | | random coefficients | | en_US |
| dc.subject.keyword | | multiple effects | | en_US |
| dc.subject.keyword | | nonparametric identification | | en_US |
| dc.subject.stw | | Mathematik | | en_US |
| dc.title | | Identifying distributional characteristics in random coefficients panel data models | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 607538503 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)
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