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
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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