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23 octobre 2020
- 2010.12439
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Economics - EconometricsSujets proches
Instruction and study--Methods Instruction and study--MethodsCiter ce document
Iván Fernández-Val et al., « Low-Rank Approximations of Nonseparable Panel Models », arXiv - économie
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Résumé
We provide estimation methods for nonseparable panel models based on low-rank factor structure approximations. The factor structures are estimated by matrix-completion methods to deal with the computational challenges of principal component analysis in the presence of missing data. We show that the resulting estimators are consistent in large panels, but suffer from approximation and shrinkage biases. We correct these biases using matching and difference-in-differences approaches. Numerical examples and an empirical application to the effect of election day registration on voter turnout in the U.S. illustrate the properties and usefulness of our methods.