Cornell University

Econometrics Workshop: Robert Sherman

Wednesday, March 1, 2023 at 11:15am to 12:45pm

Uris Hall, 498
Central Campus

Robert Sherman, CalTech

MOMENT ESTIMATION
IN A CORRELATED RANDOM COEFFICIENTS LINEAR PANEL DATA MODEL:
A FUNCTIONAL FIXED POINT APPROACH TO IDENTIFICATION AND ESTIMATION

Abstract: 

 We develop a linear regression panel data model allowing random coefficients to be correlated with regressors not only within periods but also across periods. The random coefficients are modeled as sums of independent possibly nonidentically distributed past and current shocks. This structure allows feedback, in the sense that future regressors can be correlated with all past shocks, and also allows all lagged dependent variables to be regressors.

For each time period, we identify all marginal first moments of the random coefficients. These moments have causal interpretations. The identification results rest on a novel functional fixed point argument and lead to natural estimators of these moments. We provide simulation evidence of the usefulness of this approach.

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Event Type

Seminar, Class/ Workshop

Departments

Economics

Tags

economics, EconSeminar, EconMetrics

Contact E-Mail

rt483@cornell.edu

Contact Name

Robin Tilling

Contact Phone

(607)255-4254

Speaker

Robert Sherman

Speaker Affiliation

CalTech

Open To

Cornell Economics Community (List Serve Members)

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