Under-identification of structural models based on timing and information set assumptions
From MaRDI portal
Abstract: We revisit identification based on timing and information set assumptions in structural models, which have been used in the context of production functions, demand equations, and hedonic pricing models (e.g. Olley and Pakes (1996), Blundell and Bond (2000)). First, we demonstrate a general under-identification problem using these assumptions in a simple version of the Blundell-Bond dynamic panel model. In particular, the basic moment conditions can yield multiple discrete solutions: one at the persistence parameter in the main equation and another at the persistence parameter governing the regressor. We then show that the problem can persist in a broader set of models but disappears in models under stronger timing assumptions. We then propose possible solutions in the simple setting by enforcing an assumed sign restriction and conclude by using lessons from our basic identification approach to propose more general practical advice for empirical researchers.
Cites work
- Estimating Production Functions Using Inputs to Control for Unobservables
- GMM Estimation with persistent panel data: an application to production functions
- Identification properties of recent production function estimators
- Monotone Instrumental Variables: With an Application to the Returns to Schooling
- Production function estimation with unobserved input price dispersion
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- The Dynamics of Productivity in the Telecommunications Equipment Industry
- Underidentification?
Cited in
(3)
This page was built for publication: Under-identification of structural models based on timing and information set assumptions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6090545)
