Pub Date : 2017-09-26DOI: 10.1920/WP.CEM.2018.2218
Iv'an Fern'andez-Val, M. Weidner
This article reviews recent advances in fi xed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where the distribution of the outcome variable conditional on covariates and unobserved effects is specifi ed parametrically, while the distribution of the unobserved effects is left unrestricted. Compared to existing reviews on long panels (Arellano & Hahn, 2007; a section in Arellano & Bonhomme, 2011) we discuss models with both individual and time effects, split-panel Jackknife bias corrections, unbalanced panels, distribution and quantile effects, and other extensions. Understanding and correcting the incidental parameter bias caused by the estimation of many fixed effects is our main focus, and the unifying theme is that the order of this bias is given by the simple formula p=n for all models discussed, with p the number of estimated parameters and n the total sample size.
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We analyze the empirical content of the Roy model, stripped down to its essential features, namely sector specific unobserved heterogeneity and self selection on the basis of potential outcomes. We characterize sharp bounds on the joint distribution of potential outcomes and the identifying power of exclusion restrictions. The latter include variables that affect market conditions only in one sector and variables that affect sector selection only. Special emphasis is put on the case of binary outcomes, which has received little attention in the literature to date. For richer sets of outcomes, we emphasize the distinction between pointwise sharp bounds and functional sharp bounds, and its importance, when constructing sharp bounds on functional features, such as inequality measures.
{"title":"Sharp Bounds for the Roy Model","authors":"Ismael Mourifié, Marc Henry, Romuald Méango","doi":"10.2139/SSRN.2043117","DOIUrl":"https://doi.org/10.2139/SSRN.2043117","url":null,"abstract":"We analyze the empirical content of the Roy model, stripped down to its essential features, namely sector specific unobserved heterogeneity and self selection on the basis of potential outcomes. We characterize sharp bounds on the joint distribution of potential outcomes and the identifying power of exclusion restrictions. The latter include variables that affect market conditions only in one sector and variables that affect sector selection only. Special emphasis is put on the case of binary outcomes, which has received little attention in the literature to date. For richer sets of outcomes, we emphasize the distinction between pointwise sharp bounds and functional sharp bounds, and its importance, when constructing sharp bounds on functional features, such as inequality measures.","PeriodicalId":8448,"journal":{"name":"arXiv: Econometrics","volume":"41 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85124061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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