Identification of Marginal Effects in a Nonparametric Correlated Random Effects Model
在不假设结构似然或混合分布函数形式的情况下，识别和估计相关随机效应模型中的平均边际效应，并通过内幕交易与交易量的实证例子展示方法。
AbstractIn this article, we consider identification and estimation of average marginal effects in a correlated random effects model without imposing functional form assumptions on the structural likelihood or the mixing distribution. Identification is achieved through imposing that the mixing distribution depends on observed covariates only through an index function. We leave the functional form of the index function unrestricted subject to smoothness conditions. We present identification results for this model and consider estimation of the marginal effects of interest. We illustrate the approach through a brief empirical example, which considers the relationship between insider trading activity and trading volume.KEY WORDS:: IndexInsider tradingSufficient statistic