Econometrics Seminar Series | Identification and estimation of dynamic random coefficient models, by Wooyong Lee
Invites you to a Econometrics seminar presented by
Wooyong Lee, University of Technology Sydney (UTS)
Identification and estimation of dynamic random coefficient models
Wednesday 23 March 2022
1.00pm – 2.30pm Via Zoom: Meeting Link
For further information contact: Econometrics Research Seminar Coordinator Dr Ye Lu (email@example.com)
Abstract: This paper studies dynamic linear panel data models that allow multiplicative as well as additive heterogeneity in a short panel context, by allowing both the coefficients and intercept of linear models to be individual-specific. I show that the model is not point-identified and yet partially identified, and I characterize sharp identified sets of the mean, variance, and CDF of the partial effect distribution. The characterization applies to both discrete and continuous data. A computationally feasible estimation and inference procedure is proposed, based on a fast and exact global polynomial optimization algorithm. The method is applied to study lifecycle earnings dynamics in U.S. households in the Panel Study of Income Dynamics (PSID) dataset. Results suggest that there are large heterogeneity in earnings persistence and that the households experience weaker earnings persistence than what is reported in the literature on earnings dynamics.