Chernozhukov, Victor; Fernandez-Val, Ivan; Hahn, Jinyong; … - Centre for Microdata Methods and Practice (CEMMAP) - 2008
;:::;XiT]0, for a
dependent variable Yit and a vector of regressors Xit. We will assume throughout that (Yi;Xi),
(i = 1;:::;n … +fii +"it ‚ 0g; (17)
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with "it i.i.d. normal or logistic with zero mean and unit variance. The explanatory variable
Xit … correlated with the explanatory variable for each individual. In particular,
we generate these efiects as a mixture of a random …