Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models
Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models
复制标题
动态异构主体模型的非线性面板数据方法
DOI：
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
S. Bonhomme
中科院分区：
文献类型：
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作者：
M. Arellano;S. Bonhomme
非线性面板数据分析的最新发展允许一般动态系统的识别和估计。我们回顾了非参数识别和灵活的估计存在时不变和时变潜变量的一些结果和技术。这开辟了一个大类的结构动力学模型与异构代理估计非线性简化形式的可能性。我们展示了如何减少形式可能被用来记录政策相关的衍生效应，并提高结构模型的理解和实施。
Recent developments in nonlinear panel data analysis allow the identification and estimation of general dynamic systems. We review some results and techniques for nonparametric 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.