Identification and Estimation of Dynamic Random Coefficient Models

• 成果类型: Article; Early Access
• 署名作者: Lee, Wooyong
• 署名单位: University of Technology Sydney
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdag036
• 发表日期: 2026
• 关键词: correlated random-coefficient; panel-data; consumption inequality; covariance structure; income; inference; earnings; bounds; parameters

摘要

I study linear panel data models with predetermined regressors (such as lagged dependent variables) where coefficients are individual-specific, allowing for heterogeneity in the effects of the regressors on the dependent variable. I show that the model is not point-identified in a short panel context but rather partially identified, and I characterize the identified sets for the mean, variance, and CDF of the coefficient distribution. This characterization is general, accommodating discrete, continuous, and unbounded data, and it leads to computationally tractable estimation and inference procedures. I apply the method to study lifecycle earnings dynamics among U.S. households using the Panel Study of Income Dynamics (PSID) dataset. The results suggest the presence of unobserved heterogeneity in earnings persistence, implying that households face varying levels of earnings risk which, in turn, contribute to heterogeneity in their consumption and savings behaviours.