ENMUH

Estimation of Nonlinear Models with Unobserved Heterogeneity

 Coordinatore FUNDACION CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS 

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 Nazionalità Coordinatore Spain [ES]
 Totale costo 1˙410˙000 €
 EC contributo 1˙410˙000 €
 Programma FP7-IDEAS-ERC
Specific programme: "Ideas" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013)
 Code Call ERC-2010-StG_20091209
 Funding Scheme ERC-SG
 Anno di inizio 2010
 Periodo (anno-mese-giorno) 2010-12-01   -   2015-11-30

 Partecipanti

# participant  country  role  EC contrib. [€] 
1    FUNDACION CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS

 Organization address address: CASADO DEL ALISAL 5
city: MADRID
postcode: 28014

contact info
Titolo: Dr.
Nome: Stephane Olivier
Cognome: Bonhomme
Email: send email
Telefono: +34 91 4290551
Fax: +34 91 4291056

ES (MADRID) hostInstitution 1˙410˙000.00
2    FUNDACION CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS

 Organization address address: CASADO DEL ALISAL 5
city: MADRID
postcode: 28014

contact info
Titolo: Ms.
Nome: Gema
Cognome: Salazar
Email: send email
Telefono: +34 914 290 551
Fax: +34 914 291 056

ES (MADRID) hostInstitution 1˙410˙000.00

Mappa


 Word cloud

Esplora la "nuvola delle parole (Word Cloud) per avere un'idea di massima del progetto.

researcher    heterogeneity    perspective    models    differencing    observations    honore    unobserved    individual    identification   

 Obiettivo del progetto (Objective)

'Modern economic research emphasizes heterogeneity in various dimensions, such as individual preferences or firms’ technology. From an empirical perspective, the presence of unobserved heterogeneity (to the econometrician) creates challenging identification and estimation problems. In this proposal we explore these issues in a context where repeated observations are available for the same individual, and the researcher disposes of panel data. Most research to date adopts either of three approaches. One approach consists in modeling the distribution of unobserved heterogeneity, following a random-effects perspective (Chamberlain, 1984). Another approach looks for clever model-specific ways of differencing out the unobserved heterogeneity (Andersen, 1970, Honore and Kyriazidou, 2000). A more recent line of research relies on approximations that become more accurate when the number of observations per individual T gets large (Arellano and Hahn, 2006). Here we consider situations where T may be small, and the researcher does not restrict the distribution of the unobserved fixed effects. We will propose a new functional differencing approach which differences out the probability distribution of unobserved heterogeneity. This approach will generally be applicable in models with continuous dependent variables, emphasizing a possibility of point-identification of the structural parameters in those models. When outcomes are discrete, we will propose a nonlinear differencing strategy that delivers useful bounds on parameters in the presence of partial identification (Honore and Tamer, 2006).'

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