What’s New in Econometrics?Lecture 4Nonlinear Panel Data ModelsJeff WooldridgeNBER Summer Institute, 20071. Basic Issues and Quantities of Interest2. Exogeneity Assumptions3. Conditional Independence4. Assumptions about the UnobservedHeterogeneity5. Nonparametric Identification of Average PartialEffects6. Dynamic Models7. Applications to Specific Models8. Estimating the Fixed Effects1
This preview has intentionally blurred sections.
Sign up to view the full version.
1.Basic Issues and Quantities of Interest∙Letxit,yit:t1,...,Tbe a random drawfrom the cross section. Typically interested inDyit|xit,ci(1)or some feature of this distribution, such asEyit|xit,ci, or a conditional median.∙In the case of a mean, how do we summarize thepartial effects? Ifxtjis continuous, thenjxt,c≡∂mtxt,c∂xtj,(2)or discrete changes. How do we account forunobservedci? If we know enough about thedistribution ofciwe can insert meaningful valuesforc. For example, ifcEci, then we cancompute thepartial effect at the average (PEA),2