Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324436 
Year of Publication: 
2025
Series/Report no.: 
cemmap working paper No. CWP12/25
Publisher: 
Centre for Microdata Methods and Practice (cemmap), The Institute for Fiscal Studies (IFS), London
Abstract: 
Many panel data methods, while allowing for general dependence between covariates and time-invariant agent-specific heterogeneity, place strong a priori restrictions on feedback: how past outcomes, covariates, and heterogeneity map into future covariate levels. Ruling out feedback entirely, as often occurs in practice, is unattractive in many dynamic economic settings. We provide a general characterization of all feedback and heterogeneity robust (FHR) moment conditions for nonlinear panel data models and present constructive methods to derive feasible moment-based estimators for specific models. We also use our moment characterization to compute semiparametric efficiency bounds, allowing for a quantification of the information loss associated with accommodating feedback, as well as providing insight into how to construct estimators with good efficiency properties in practice. Our results apply both to the finite dimensional parameter indexing the parametric part of the model as well as to estimands that involve averages over the distribution of unobserved heterogeneity. We illustrate our methods by providing a complete characterization of all FHR moment functions in the multi-spell mixed proportional hazards model. We compute efficient moment functions for both model parameters and average effects in this setting.
Subjects: 
Sequential Exogeneity
Feedback
Panel Data
Duration Models
Incidental Parameters
Semiparametric Efficiency Bounds
JEL: 
C23
C33
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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