Identification and Estimation of Dynamic Random Coefficient Models

Wooyong Lee
This paper studies dynamic panel data linear models that allow multiplicative and additive heterogeneity in a short panel context by allowing both the coefficients and intercept to be individual-specific. I show that the model is not point-identified and yet partially identified, and I characterize the sharp identified sets of the mean, variance, and distribution of the partial effect distribution. The characterization applies to both discrete and continuous data. A computationally feasible estimation and inference procedure...
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