Set identification in nonlinear panel data models. KU Leuven
Panel data models are used in a wide range of economic applications, but in models with unobserved heterogeneity, estimates of the structural parameters will in general be inconsistent. This is referred to as the incidental parameters problem. Recently, it has been shown that in some models point identification may not even be possible. Given the failure of point identification, it is natural to shift the attention from point estimation to ...