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Nonlinear Panel Data Models Slides

Nonlinear Panel Data Models Slides - WNE#4 Whats New in...

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What’s New in Econometrics? Lecture 4 Nonlinear Panel Data Models Jeff Wooldridge NBER Summer Institute, 2007 1. Basic Issues and Quantities of Interest 2. Exogeneity Assumptions 3. Conditional Independence 4. Assumptions about the Unobserved Heterogeneity 5. Nonparametric Identification of Average Partial Effects 6. Dynamic Models 7. Applications to Specific Models 8. Estimating the Fixed Effects 1
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1 . Basic Issues and Quantities of Interest Let  x it , y it : t 1,..., T be a random draw from the cross section. Typically interested in D y it | x it , c i (1) or some feature of this distribution, such as E y it | x it , c i , or a conditional median. In the case of a mean, how do we summarize the partial effects? If x tj is continuous, then j x t , c m t x t , c x tj , (2) or discrete changes. How do we account for unobserved c i ? If we know enough about the distribution of c i we can insert meaningful values for c . For example, if c E c i , then we can compute the partial effect at the average (PEA) , 2
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