Time-Varying Linear Transformation Models with Fixed Effects and Endogeneity for Short Panels 

Abstract:
This paper considers a class of fixed-T nonlinear panel models with time-varying link function, fixed effects, and endogenous regressors. We establish sufficient conditions for the identification of the regression coefficient and the time-varying link function. We propose estimators for the regression coefficient and the link function, and establish their asymptotic properties. We show the relevance of our model by obtaining new results for the nonlinear version of the canonical dynamic panel data model. Compared to existing methods, we allow for more flexible functional forms than currently available in the literature.

*joint with Irene Botosaru and Chris Muris

Streamed live via Zoom: https://boun-edu-tr.zoom.us/j/98517693680?pwd=TWZZdU1YbzhOYzk5anczQVBuR2h3dz09