Conventional OLS fixed-effects and GLS random-effects estimators of dynamic models that control for individual-effects are known to be biased when applied to short panel data (T <= 10). GMM estimators
We study identification of differentiated product demand from market-level data when product characteristics can be endogenous. Past work suggests nonparametric identification may be impossible: that
Data and code for Exploring the Mechanism of Path-Creating Strategy for Latecomers: A Combined Approach of Econometrics and Causal Machine Learning 1. feature_data.csv is the original feature da
The recent literature on rational expectations in macroeconomic theory is surveyed here with the objective of distilling from the various papers useful suggestions for econometric methodology. The pap