[Statlist] Research Seminar in Statistics *FRIDAY 1st MARCH 2019* GSEM, University of Geneva

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Dear All,

We are pleased to invite you to our next Research Seminar.

Looking forward to seeing you

Organizers :                                                                                   
E. Cantoni - S. Engelke - D. La Vecchia - E. Ronchetti
S. Sperlich - F. Trojani - M.-P. Victoria-Feser

FRIDAY 1st MARCH 2019 at 11:15am, Uni-Mail M 5220


Nonseparable panel models with index structure and correlated random effects
Pavel CIZEK - Tilburg University, Netherlands

ABSTRACT:
Nonseparable single- and multiple-index models are studied in the context of panel data with correlated random effects for a fixed number of time periods, which facilitates semiparametric estimation of discrete choice, sample selection, and other complex panel data models. The parameter vectors of interest are shown to be identified up to multiplicative constants under the assumption that the distribution of individual effects depends on the explanatory variables only through their averages across time. Under this assumption, we propose to estimate the unknown parameter vectors by the generalized method of moments based on the average and outer product of the difference of derivatives of the regression function. The rate of convergence and asymptotic distribution are derived both for the proposed parameter estimates and the average marginal effects. Monte Carlo experiments are conducted to investigate finite-sample properties of the proposed estimator.

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