Wüthrich, K., and Zhu, Y. (2023). “Omitted Variable Bias of Lasso-Based Inference Methods: A Finite Sample Analysis.” Review of Economics and Statistics 105:4, 982–997.
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
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