Identification of Dynamic Nonlinear Panel Models under Partial Stationarity

Author:

Wayne Yuan Gao, Rui Wang

Keyword:

Economics, Econometrics, Econometrics (econ.EM)

journal:

date:

2023-12-30 00:00:00

Abstract

This paper studies identification for a wide range of nonlinear panel data models, including binary choice, ordered repsonse, 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, with static and dynamic ordered choice models as illustrative examples.

PDF: Identification of Dynamic Nonlinear Panel Models under Partial Stationarity.pdf