Identifying distributional characteristics in random coefficients panel data models

By M. Arellano, S. Bonhomme. 2009

185 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Sociology and Political Science, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/4096509e91f1295c995186fada5ee2d5fa45cf9a

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Citations in the corpus

Leave‐Out Estimation of Variance Components (2018, unknown): “Arellano and Bonhomme (2011) propose an estimator that is unbiased under arbitrary heteroscedasticity patterns, which by Lemma 1 implies the leverage requirement maxi Pii < 1.”
Random Coefficients on Endogenous Variables in Simultaneous Equations Models (2014, background): “Several papers, such as Graham and Powell (2012) and Arellano and Bonhomme (2012), relax independence by considering panel data models. 4. For example, Matzkin (2003), Imbens and Newey (2009), Chernozhukov and Hansen (2005), Matzkin (2008, 2012) and Berry and Haile (2014), among others.”
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets (2016, background): “Recent advances on the incidental parameter problem in random coefficient models for fixed T are Arellano and Bonhomme (2012) and Bonhomme (2012).”
Using mixtures in econometric models: a brief review and some new results (2016, background): “Arellano and Bonhomme (2012) consider estimation of moments of the distribution of random coefficients conditional on observables (thus fixed effects) with panel data.”
Forecasting With Dynamic Panel Data Models (2017, unknown): “Third, let Ỹi = Σ −1/2 i (γ) ( Yi −Xiρ ) = Si(γ)λi + Vi. (5) The identification of π(λi|hi) can be established using a characteristic function argument similar to that in Arellano and Bonhomme (2012).”
SOME EXTENSIONS OF A LEMMA OF KOTLARSKI (2012, background): “Econometric Theory, 28, 2012, 925–932. doi:10.1017/S0266466611000831”
Nonlinear Panel Data Estimation via Quantile Regressions (2015, background): “(9) For example, in contrast with (9), model (8) is fully nonparametric in the absence of covariates, i.”
Nonparametric Identification in Nonseparable Panel Data Models with Generalized Fixed Effects (2009, background): “…Fernandez-Val, Hahn, and Newey (2009), who consider discrete variation, whereas we consider derivatives, and Graham and Powell (2009) as well as Arellano and Bonhomme (2009) who both focus on a linear heterogeneous population (i.e., the structure is linear in the coefficients, with…”
A quantile correlated random coefficients panel data model (2016, background): “Our first estimand is the R × 1 vector of common coefficients δ (τ).”
Split-Panel Jackknife Estimation of Fixed-Effect Models (2015, background): “Browning and Carro (2007), Browning, Ejrnæs, and Alvarez (2010), and Arellano and Bonhomme (2012) discuss several examples where unit-specific location parameters cannot fully capture the unobserved heterogeneity in the data.”
Grouped Patterns of Heterogeneity in Panel Data (2015, background): “(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)”
Set identification via quantile restrictions in short panels (2009, background): “Also related are recent papers by Graham and Powell (2008), Graham, Hahn, and Powell (2009), and Arellano and Bonhomme (2009).”
Identification and Estimation of Average Partial Effects in “Irregular” Correlated Random Coefficient Panel Data Models (2012, background): “OLS denotes least squares applied to the pooled 2000, 2001, and 2002 samples; FE-OLS denotes least squares with household-specific intercepts; R-CRC denotes Chamberlain’s (1992) estimator with identity weight matrix; MDLK denotes the Mundlak (1961)/Chamberlain (1982) estimator described in the main ”