Document Type
Discussion Paper
Publication Date
10-1-2009
CFDP Number
1732
CFDP Pages
20
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.
Recommended Citation
Berry, Steven T. and Haile, Philip A., "Identification of a Heterogeneous Generalized Regression Model with Group Effects" (2009). Cowles Foundation Discussion Papers. 2056.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/2056