Semiparametric Identification in Panel Data Discrete Response Models

40 Pages Posted: 16 Jul 2019 Last revised: 22 Feb 2020

See all articles by Eleni Aristodemou

Eleni Aristodemou

University of Amsterdam; Tinbergen Institute

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Date Written: July 15, 2019

Abstract

This paper studies semiparametric identification in linear index discrete response panel data models with fixed effects. Departing from the classic binary response static panel data model, this paper examines identification in the binary response dynamic panel data model and the ordered response static panel data model. It is shown that under mild distributional assumptions on the fixed effect and the time-varying unobservables, point-identification fails but informative bounds on the regression coefficients can still be derived. Partial identification is achieved by eliminating the fixed effect and discovering features of the distribution of the unobservable time-varying components that do not depend on the unobserved heterogeneity. Numerical analyses illustrate how the outer bounds change as the support of the explanatory variables varies.

Keywords: Static and Dynamic Panel Data, Binary Response Models, Ordered Response Models, Semiparametric Identification, Partial Identification

JEL Classification: C01, C33, C35

Suggested Citation

Aristodemou, Eleni, Semiparametric Identification in Panel Data Discrete Response Models (July 15, 2019). Available at SSRN: https://ssrn.com/abstract=3420016 or http://dx.doi.org/10.2139/ssrn.3420016

Eleni Aristodemou (Contact Author)

University of Amsterdam ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

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