Abstract. Since Manski’s (1975) seminal work, the maximum score method for discrete choice models has been applied to various econometric problems. Kim and Pollard (1990) established the cube root asymptotics for the maximum score estimator. Since then, however, econometricians posed several open questions and conjectures in the course of generalizing the maximum score approach, such as (a) asy...

This paper studies consumption and labor supply in a model where agents have partial insurance and face risk and initial heterogeneity in wages and preferences. Equilibrium allocations and variances and covariances of wages, hours and consumption are solved for analytically. We prove that all parameters of the structural model are identified given panel data on wages and hours, and crosssection...

This paper investigates whether and how individual managers affect corporate behavior and performance. We construct a manager-firm matched panel data set which enables us to track the top managers across different firms over time. We find that manager fixed effects matter for a wide range of corporate decisions. A significant extent of the heterogeneity in investment, financial and organization...

For static panel data models that include endogenous time-invariant variables correlated with individual effects, exogenous averages over time of time-varying can be internal instruments. To pretest their exogeneity, we first estimate a random effects model includes all (Mundlak, 1978; Krishnakumar, 2006). Internal instruments are then selected if parameter is statistically different from zero ...

Unconditional quantile treatment effects are difficult to estimate in the presence of fixed effects. Panel data are frequently used because fixed effects or differences are necessary to identify the parameters of interest. The inclusion of fixed effects or differencing of data, however, changes the interpretation of the estimates. This paper introduces a quantile estimator for panel data which ...

This paper examines the impact of globalization on income inequality in a panel of 78 developed and developing countries over 2002–2015. Moreover, the indirect effect of financial development in the link between globalization and income inequality is also analyzed by incorporating the interaction term between globalization and financial development. The empirical evidence based on the first-dif...

This paper investigates stationary β-mixing dynamics in nonlinear panel models and develops nonparametric estimation of dynamic panel models using series approximations. We extend the standard linear dynamic panel model to a nonparametric form that maintains additive fixed effects. Convergence rates and the asymptotic distribution of the series estimator are derived, in which an asymptotic bias...

This paper studies a panel data regression setting, where a break occurs at a unknown common date. In this paper, we establish the consistency and rate of convergence of the change point estimator. The break date can be estimated consistently both in …xed time horizon and large panels, which indicates that the structural change can be well detected even in short panels. Furthermore, the limitin...