Correlated Random Coefficient Distributions in Linear Panel Models
Coauthor: Jim Powel l
Abstract:
We consider a static linear panel model with both correlated and uncorrelated random coefficients\, where the former may depend arbitrarily on observable regressors\, while the latter are independent of them. In short panels\, we derive sufficient conditions for identification of the distributions of the random coefficients without imposing restrictions on the time-series structure of the error terms. Our framework unifies regular and irregular designs. Identification proceeds vi a a two-step strategy that separates the correlated and uncorrelated compon ents. In the first step\, the distribution of the uncorrelated component is identified using transformations that eliminate the correlated coefficient s\, and which depend on the design. In irregular designs\, identification e xploits a stayer-based argument based on near-singular regressor realizatio ns\, while in regular designs it follows from algebraic annihilation using projections orthogonal to the regressors. In the second step\, the distribu tion of the correlated coefficients is recovered by deconvolution. We focus on the estimation of the density of the correlated random coefficients\, w hich mirrors the identification strategy and involves a regularized inverse problem. We propose a two-step minimum distance sieve estimator with trimm ing and Fourier smoothing\, and a cross-validation criterion for data-drive n selection of tuning parameters. An application to household consumption d ata reveals substantial heterogeneity in calorie-expenditure elasticities m asked by average effects and highlights the sensitivity of distributional e stimates to violations of the identifying assumptions.
Organized by: Vadim Marmer
LOCATION:IONA 533 GEO:49.260872;-123.113952 URL;VALUE=URI:https://economics.ubc.ca/events/event/irene-botosaru-mcmaster -university-econometrics-seminar/ END:VEVENT BEGIN:VTIMEZONE TZID:America/Vancouver BEGIN:DAYLIGHT TZOFFSETFROM:-0800 TZOFFSETTO:-0700 DTSTART:20260308T100000 TZNAME:PDT END:DAYLIGHT END:VTIMEZONE END:VCALENDAR