We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a …

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in … parameters in the canonical linear fixed effects model and over coefficients on a fixed vector of endogenous variables in panel …

be partially or irregularly identified. To illustrate our approach we study panel data models where the distribution of …

In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification …

attributes and multidimensional unobserved heterogeneity with cross-section and panel data. We show that derivatives of choice … identification results to models with endogenous heterogeneity using either a control function or panel data. In time stationary … panel models with two periods, we find that differences over time of derivatives of choice probabilities identify utility …

This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of … section in Arellano & Bonhomme, 2011) we discuss models with both individual and time effects, split-panel Jackknife bias …

Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial … very skewed with some mass at zero values. For example, panel data on firms naturally depend on the first period in which …