Identification of Marginal Effects in a Nonparametric Correlated Random Effects Model
38 Pages Posted: 12 Sep 2007
Date Written: August 2006
Abstract
In this paper, we consider identification and estimation of average marginal effects in a correlated random coefficients model without imposing strong functional form assumptions on the structural likelihood or the mixing distribution. Identification is achieved through imposing that the mixing distribution depends on observed covariates only through an index function and the assumption that at least three time periods are available for each cross sectional unit. We leave the functional form of the index function unrestricted subject to smoothness conditions. We present identification results for this model and consider estimation of the marginal effects of interest. We illustrate the use of the approach through a brief empirical example which considers the relationship between insider trading activity and trading volume.
Keywords: index, sufficient statistic, insider trading
JEL Classification: C14, C23
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity
By Guido W. Imbens and Whitney K. Newey
-
Panel Data Estimators for Nonseparable Models with Endogenous Regressors
By Joseph G. Altonji and Rosa L. Matzkin
-
Nonparametric Censored and Truncated Regression
By Arthur Lewbel and Oliver B. Linton
-
By Jean-pierre Florens, James J. Heckman, ...
-
Estimating Derivatives in Nonseparable Models with Limited Dependent Variables
By Joseph G. Altonji, Taisuke Otsu, ...
-
Estimating Derivatives in Nonseparable Models with Limited Dependent Variables
By Joseph G. Altonji, Hidehiko Ichimura, ...
-
Estimating Derivatives in Nonseparable Models with Limited Dependent Variables
By Joseph G. Altonji, Hidehiko Ichimura, ...
-
Estimating Features of a Distribution from Binomial Data
By Arthur Lewbel, Oliver B. Linton, ...
-
Effective Nonparametric Estimation in the Case of Severely Discretized Data
-
By C. Lanier Benkard and Steven Berry