Northwestern Events Calendar


Seminar in Econometrics

When: Tuesday, April 9, 2024
4:00 PM - 5:30 PM CT

Where: Kellogg Global Hub, 1410, 2211 Campus Drive, Evanston, IL 60208 map it

Audience: Faculty/Staff - Student - Post Docs/Docs - Graduate Students

Contact: Kayla Johnson  

Group: Department of Economics: Seminar in Econometrics

Category: Academic


Andrew Chesher (UCL): Robust analysis of short panels

Abstract: Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as “fixed effects” and, in dynamic models, initial conditions. This paper presents a generally applicable method for characterizing sharp identified sets when models place no restrictions on the probability distribution of certain latent variables and no restrictions on their covariation with other variables. In our analysis latent variables on which restrictions are undesirable are removed, leading to econometric analysis robust to misspecification of restrictions on their distributions which are commonplace in the applied panel data literature. Endogenous explanatory variables are easily accommodated. Examples of application to some static and dynamic binary, ordered and multiple discrete choice and censored panel data models are presented.

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