| By: |
Steven T. Berry (Cowles Foundation, Yale University);
Philip A. Haile (Cowles Foundation, Yale University) |
| Abstract: |
We consider identification in a "generalized regression model" (Han, 1987) for
panel settings in which each observation can be associated with a "group"
whose members are subject to a common unobserved shock. Common examples of
groups include markets, schools or cities. The model is fully nonparametric
and allows for the endogeneity of group-specific observables, which might
include prices, policies, and/or treatments. The model features heterogeneous
responses to observables and unobservables, and arbitrary heteroskedasticity.
We provide sufficient conditions for full identification of the model, as well
as weaker conditions sufficient for identification of the latent group effects
and the distribution of outcomes conditional on covariates and the group
effect. |
| Keywords: |
Nonparametric identification, Binary choice, Threshold crossing, Censored regression, Proportional hazard model |
| JEL: |
C23 C24 C25 |
| Date: |
2009–10 |
| URL: |
http://d.repec.org/n?u=RePEc:cwl:cwldpp:1732&r=dcm |