Identification and Estimation of Average Partial Effects in "Irregular" Correlated Random Coefficient Panel Data Models
研究了面板数据中相关随机系数模型在时间维度等于系数个数或回归变量更持久时的平均部分效应识别问题，利用“留者”和“动者”子群体信息提出可行估计量，并应用于尼加拉瓜贫困家庭热量消费弹性估计。
In this paper we study identification and estimation of a correlated random coefficients (CRC) panel data model. The outcome of interest varies linearly with a vector of endogenous regressors. The coefficients on these regressors are heterogenous across units and may covary with them. We consider the average partial effect (APE) of a small change in the regressor vector on the outcome (cf. Chamberlain (1984), Wooldridge (2005a)). Chamberlain (1992) calculated the semiparametric efficiency bound for the APE in our model and proposed a √N-consistent estimator. Nonsingularity of the APE's information bound, and hence the appropriateness of Chamberlain's (1992) estimator, requires (i) the time dimension of the panel (T) to strictly exceed the number of random coefficients (p) and (ii) strong conditions on the time series properties of the regressor vector. We demonstrate irregular identification of the APE when T = p and for more persistent regressor processes. Our approach exploits the different identifying content of the subpopulations of stayers—or units whose regressor values change little across periods—and movers—or units whose regressor values change substantially across periods. We propose a feasible estimator based on our identification result and characterize its large sample properties. While irregularity precludes our estimator from attaining parametric rates of convergence, its limiting distribution is normal and inference is straightforward to conduct. Standard software may be used to compute point estimates and standard errors. We use our methods to estimate the average elasticity of calorie consumption with respect to total outlay for a sample of poor Nicaraguan households.