30 décembre 2023
Wayne Yuan Gao et al., « Identification of Nonlinear Dynamic Panels under Partial Stationarity », arXiv - économie
This paper studies identification for a wide range of nonlinear panel data models, including binary choice, ordered response, and other types of limited dependent variable models. Our approach accommodates dynamic models with any number of lagged dependent variables as well as other types of (potentially contemporary) endogeneity. Our identification strategy relies on a partial stationarity condition, which not only allows for an unknown distribution of errors but also for temporal dependencies in errors. We derive partial identification results under flexible model specifications and provide additional support conditions for point identification. We demonstrate the robust finite-sample performance of our approach using Monte Carlo simulations, and apply the approach to analyze the empirical application of income categories using various ordered choice models.