论文标题
非参数未观察到的异质性的结构模型的不规则鉴定
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity
论文作者
论文摘要
微观经济学中最重要的经验发现之一是异质性在经济行为中的普遍性（参见Heckman 2001）。本文表明，非参数异质性的累积分布函数和分位数具有无限的效率，其中许多感兴趣的结构经济模型。该论文对这一事实进行了相对简单的检查。 The usefulness of the theory is demonstrated with several relevant examples in economics, including, among others, the proportion of individuals with severe long term unemployment duration, the average marginal effect and the proportion of individuals with a positive marginal effect in a correlated random coefficient model with heterogenous first-stage effects, and the distribution and quantiles of random coefficients in linear, binary and the Mixed Logit models.蒙特卡洛模拟说明了我们发现对混合logit模型中随机系数的分布和分位数的有限样本含义。
One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behaviour (cf. Heckman 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric unobserved heterogeneity have an infinite efficiency bound in many structural economic models of interest. The paper presents a relatively simple check of this fact. The usefulness of the theory is demonstrated with several relevant examples in economics, including, among others, the proportion of individuals with severe long term unemployment duration, the average marginal effect and the proportion of individuals with a positive marginal effect in a correlated random coefficient model with heterogenous first-stage effects, and the distribution and quantiles of random coefficients in linear, binary and the Mixed Logit models. Monte Carlo simulations illustrate the finite sample implications of our findings for the distribution and quantiles of the random coefficients in the Mixed Logit model.
