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Fixed Effects Nonlinear Panel Models with Heterogeneous Slopes : Identification and Consistency

Author

Listed:
  • Mugnier, Martin

    (Paris School of Economics)

  • Wang, Ao

    (University of Warwick and CAGE Research Centre)

Abstract

We study a class of two-way fixed effects index function models with a nonparametric link function and individual- (or time-) specific slopes. Our model alleviates potential misspecification errors due to the common practice of specifying a known link function such as Gaussian and its tail behavior. It also enables to incorporate richer unobserved heterogeneity in the marginal effects of covariates via heterogeneous slopes across individuals. We show the identification of the link function as well as the slopes and fixed effects parameters when both individual and time dimensions are large. We propose a nonparametric consistency result for the fixed effects sieve maximum likelihood estimators. Finally, we apply our method to the study of establishing exportation and illustrate the consequences of imposing Gaussian link function and homogeneity on the slope of distance.

Suggested Citation

  • Mugnier, Martin & Wang, Ao, 2024. "Fixed Effects Nonlinear Panel Models with Heterogeneous Slopes : Identification and Consistency," The Warwick Economics Research Paper Series (TWERPS) 1531, University of Warwick, Department of Economics.
    • Handle: RePEc:wrk:warwec:1531
    as

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    File URL: https://warwick.ac.uk/fac/soc/economics/research/workingpapers/2024/twerp_1531-_wang.pdf
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    References listed on IDEAS

    as
    1. Fernández-Val, Iván & Weidner, Martin, 2016. "Individual and time effects in nonlinear panel models with large N, T," Journal of Econometrics, Elsevier, vol. 192(1), pages 291-312.
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    3. Candelaria, Luis E., 2020. "A Semiparametric Network Formation Model with Unobserved Linear Heterogeneity," The Warwick Economics Research Paper Series (TWERPS) 1279, University of Warwick, Department of Economics.
    4. Boneva, L. & Linton, O., 2017. "A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance," Cambridge Working Papers in Economics 1703, Faculty of Economics, University of Cambridge.
    5. Lihua Lei & Brad Ross, 2023. "Estimating Counterfactual Matrix Means with Short Panel Data," Papers 2312.07520, arXiv.org, revised May 2024.
    6. Karyne B. Charbonneau, 2017. "Multiple fixed effects in binary response panel data models," Econometrics Journal, Royal Economic Society, vol. 20(3), pages 1-13, October.
    7. Bryan S. Graham, 2017. "An econometric model of network formation with degree heterogeneity," CeMMAP working papers 08/17, Institute for Fiscal Studies.
    8. Lena Boneva & Oliver Linton, 2017. "A discrete†choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(7), pages 1226-1243, November.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Nonlinear Panel Models ; Fixed Effects ; Slope Heterogeneity ; Nonparametric ; Sieve JEL Codes: C23 ; C24 ; C25;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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