Irregular identification of structural models with nonparametric unobserved heterogeneity Articles
Overview
published in
- Journal of Econometrics Journal
publication date
- January 2022
start page
- 1
end page
- 22
Digital Object Identifier (DOI)
full text
International Standard Serial Number (ISSN)
- 0304-4076
Electronic International Standard Serial Number (EISSN)
- 1872-6895
abstract
- One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behavior (cf. Heckman, 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric unobserved heterogeneity have an infinite efficiency bound in many structural economic models of interest. The paper presents general and precise conditions to prove such results. The usefulness of the theory is demonstrated with several relevant examples in economics, including, among others, the proportion of individuals with severe long term unemployment duration, Average Marginal Effects (AME) in a correlated random coefficient model without monotonicity, and the distribution and quantiles of random coefficients in linear, binary and the popular semiparametric Mixed Logit model.
Classification
subjects
- Economics
keywords
- irregular identification; nonparametric unobserved heterogeneity; semiparametric models