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摘要翻译：
本文研究一类具有随机系数的线性面板模型。我们不限制时不变非均匀性和协变量的联合分布。研究了当固定效应技术不能用于控制回归模型与时变扰动之间的相关性时，平均部分效应(APE)的辨识问题。依靠控制变量，我们发展了一个建设性的两步辨识论点。第一步非参数识别给定回归子和控制变量的扰动的条件期望，第二步采用“组间”变化，校正内生性，识别APE。给出了APE的一个自然半参数估计，证明了它的$\sqrt{n}$渐近正态性，并计算了它的渐近方差。该估计器在计算上易于实现，蒙特卡罗模拟显示了良好的有限样本性质。控制变量出现在各种经济和计量经济学模型中，我们提供了我们的论点的变化，以获得某些应用中的识别。作为一个经验说明，我们在一个随机系数的劳动供给模型中估计了跨期替代的平均弹性。
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英文标题：
《A Correlated Random Coefficient Panel Model with Time-Varying
Endogeneity》
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作者：
Louise Laage
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
This paper studies a class of linear panel models with random coefficients. We do not restrict the joint distribution of the time-invariant unobserved heterogeneity and the covariates. We investigate identification of the average partial effect (APE) when fixed-effect techniques cannot be used to control for the correlation between the regressors and the time-varying disturbances. Relying on control variables, we develop a constructive two-step identification argument. The first step identifies nonparametrically the conditional expectation of the disturbances given the regressors and the control variables, and the second step uses "between-group" variations, correcting for endogeneity, to identify the APE. We propose a natural semiparametric estimator of the APE, show its $\sqrt{n}$ asymptotic normality and compute its asymptotic variance. The estimator is computationally easy to implement, and Monte Carlo simulations show favorable finite sample properties. Control variables arise in various economic and econometric models, and we provide variations of our argument to obtain identification in some applications. As an empirical illustration, we estimate the average elasticity of intertemporal substitution in a labor supply model with random coefficients.
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PDF链接：
https://arxiv.org/pdf/2003.09367
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