centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre

ESRC

Keep in touch

Subscribe to cemmap news

Identifying distributional characteristics in random coefficients panel data models

Authors: Manuel Arellano and St├ęphane Bonhomme
Date: 03 August 2009
Type: cemmap Working Paper, CWP22/09
DOI: 10.1920/wp.cem.2009.2209

Abstract

We study the identification of panel models with linear individual-specific coefficients, when T is fixed. We show identification of the variance of the effects under conditional uncorrelatedness. Identification requires restricted dependence of errors, reflecting a trade-off between heterogeneity and error dynamics. We show identification of the density of individual effects when errors follow an ARMA process under conditional independence. We discuss GMM estimation of moments of effects and errors, and introduce a simple density estimator of a slope effect in a special case. As an application we estimate the effect that a mother smokes during pregnancy on child's birth weight.

Download full version
Now published:
Manuel Arellano and St├ęphane Bonhomme July 2012, Identifying distributional characteristics in random coefficients panel data models, Journal Article, Oxford University Press

Publications feeds

Subscribe to cemmap working papers via RSS

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us