Under-identification of structural models based on timing and information set assumptions

A-Tier
Journal: Journal of Econometrics
Year: 2023
Volume: 237
Issue: 1

Authors (5)

Ackerberg, Daniel A. (University of Texas-Austin) Frazer, Garth (not in RePEc) Kim, Kyoo il (not in RePEc) Luo, Yao (not in RePEc) Su, Yingjun (not in RePEc)

Score contribution per author:

0.804 = (α=2.01 / 5 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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 propose a possible solution in the simple setting by enforcing an assumed sign restriction and discuss more general practical advice for empirical researchers using these methods.

Technical Details

RePEc Handle
repec:eee:econom:v:237:y:2023:i:1:s0304407623001574
Journal Field
Econometrics
Author Count
5
Added to Database
2026-01-24