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Departmental Seminar: Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models

Dates:
  • Thu 16 Nov 2017 11.00 - 12.30
  Add to Calendar 2017-11-16 11:00 2017-11-16 12:30 Europe/Paris Departmental Seminar: Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models

Recent developments in nonlinear panel data analysis allow the identification and estimation of general dynamic systems. We review some results and techniques for non-parametric identification and flexible estimation in the presence of time-invariant and time-varying latent variables. This opens up the possibility of estimating nonlinear reduced forms in a large class of structural dynamic models with heterogeneous agents. We show how such reduced forms may be used to document policy-relevant derivative effects, and to improve the understanding and implementation of structural models.
Co-author : St├ęphane Bonhomme, University of Chicago

Conference Room, Villa la Fonte DD/MM/YYYY
  Conference Room, Villa la Fonte

Recent developments in nonlinear panel data analysis allow the identification and estimation of general dynamic systems. We review some results and techniques for non-parametric identification and flexible estimation in the presence of time-invariant and time-varying latent variables. This opens up the possibility of estimating nonlinear reduced forms in a large class of structural dynamic models with heterogeneous agents. We show how such reduced forms may be used to document policy-relevant derivative effects, and to improve the understanding and implementation of structural models.
Co-author : St├ęphane Bonhomme, University of Chicago


Location:
Conference Room, Villa la Fonte

Affiliation:
Department of Economics
Robert Schuman Centre for Advanced Studies

Type:
Seminar

Speaker:
Prof. Manuel Arellano (CEMFI)
 
 

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