Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/64799 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
cemmap working paper No. CWP33/09
Verlag: 
Centre for Microdata Methods and Practice (cemmap), London
Zusammenfassung: 
This paper is concerned with extending the familiar notion of fixed effects to nonlinear setups with infinite dimensional unobservables like preferences. The main result is that a generalized version of differencing identifies local average structural derivatives (LASDs) in very general nonseparable models, while allowing for arbitrary dependence between the persistent unobservables and the regressors of interest even if there are only two time periods. These quantities specialize to well known objects like the slope coefficient in the semiparametric panel data binary choice model with fixed effects. We extend the basic framework to include dynamics in the regressors and time trends, and show how distributional effects as well as average effects are identified. In addition, we show how to handle endogeneity in the transitory component. Finally, we adapt our results to the semiparametric binary choice model with correlated coefficients, and establish that average structural marginal probabilities are identified. We conclude this paper by applying the last result to a real world data example. Using the PSID, we analyze the way in which the lending restrictions for mortgages eased between 2000 and 2004.
Schlagwörter: 
Nonseparable Models
Identification
Panel Data
Semiparametric
Binary Choice
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
394.12 kB





Publikationen in EconStor sind urheberrechtlich geschützt.