Identification of a Heterogeneous Generalized Regression Model with Group Effects

21 Pages Posted: 12 Oct 2009

See all articles by Steven Berry

Steven Berry

Yale University - Department of Economics; National Bureau of Economic Research (NBER); Yale University - Cowles Foundation

Philip A. Haile

Yale University - Department of Economics; National Bureau of Economic Research (NBER); Yale University - Cowles Foundation

Date Written: October 8, 2009

Abstract

We consider identification in a "generalized regression model" (Han, 1987) for panel settings in which each observation can be associated with a "group" whose members are subject to a common unobserved shock. Common examples of groups include markets, schools or cities. The model is fully nonparametric and allows for the endogeneity of group-specific observables, which might include prices, policies, and/or treatments. The model features heterogeneous responses to observables and unobservables, and arbitrary heteroskedasticity. We provide sufficient conditions for full identification of the model, as well as weaker conditions sufficient for identification of the latent group effects and the distribution of outcomes conditional on covariates and the group effect.

Keywords: nonparametric identification, binary choice, threshold crossing, censored regression, proportional hazard model

JEL Classification: C23, C24, C25

Suggested Citation

Berry, Steven T. and Haile, Philip A., Identification of a Heterogeneous Generalized Regression Model with Group Effects (October 8, 2009). Cowles Foundation Discussion Paper No. 1732, Available at SSRN: https://ssrn.com/abstract=1485484 or http://dx.doi.org/10.2139/ssrn.1485484

Steven T. Berry

Yale University - Department of Economics ( email )

28 Hillhouse Ave
New Haven, CT 06520-8264
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National Bureau of Economic Research (NBER)

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Yale University - Cowles Foundation

Box 208281
New Haven, CT 06520-8281
United States

Philip A. Haile (Contact Author)

Yale University - Department of Economics ( email )

28 Hillhouse Ave
New Haven, CT 06520-8264
United States
203-432-3568 (Phone)
203-432-6323 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Yale University - Cowles Foundation

Box 208281
New Haven, CT 06520-8281
United States