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An alternative identification of nonlinear dynamic panel data models with unobserved covariates

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  • Shiu, Ji-Liang

Abstract

I provide the nonparametric identification of nonlinear dynamic panel data models. I relax the assumption of covariate evolution in Shiu and Hu (2013) by the results of Hu and Shum (2012). The assumptions include first-order Markov assumptions and a restriction on the evolution of the covariate.

Suggested Citation

  • Shiu, Ji-Liang, 2014. "An alternative identification of nonlinear dynamic panel data models with unobserved covariates," Economics Letters, Elsevier, vol. 122(2), pages 338-342.
    • Handle: RePEc:eee:ecolet:v:122:y:2014:i:2:p:338-342
    DOI: 10.1016/j.econlet.2013.12.011
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    References listed on IDEAS

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    3. Hu, Yingyao & Shum, Matthew, 2012. "Nonparametric identification of dynamic models with unobserved state variables," Journal of Econometrics, Elsevier, vol. 171(1), pages 32-44.
    4. Shiu, Ji-Liang & Hu, Yingyao, 2013. "Identification and estimation of nonlinear dynamic panel data models with unobserved covariates," Journal of Econometrics, Elsevier, vol. 175(2), pages 116-131.
    5. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, April.
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    More about this item

    Keywords

    Nonlinear dynamic panel data models; Nonparametric identification; Initial conditions; Unobserved covariate;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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