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In nonlinear panel data models, fixed effects methods are often criticized because they cannot identify average marginal effects (AMEs) in short panels. The common argument is that the identification of AMEs requires knowledge of the distribution of unobserved heterogeneity, but this distribution is not identified in a fixed effects model with a short panel. In this paper, we derive identification results that contradict this argument. In a panel data dynamic logic model, and for T as small as four, we prove the point identification of different AMEs, including causal effects of changes in the lagged dependent variable or in the duration in last choice. Our proofs are constructive and provide simple closed-form expressions for the AMEs in terms of probabilities of choice histories. We illustrate our results using Monte Carlo experiments and with an empirical application of a dynamic structural model of consumer brand choice with state dependence.
We study the impact of weak identification in discrete choice models, and provide insights into the determinants of identification strength in these models. Using these insights, we propose a novel test that can consistently detect weak identificatio
Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments of individual fixed-effects, or average partial effects in discrete choice models. For such quantities, we propose and study poster
This paper studies the instrument identification power for the average treatment effect (ATE) in partially identified binary outcome models with an endogenous binary treatment. We propose a novel approach to measure the instrument identification powe
Consider a causal structure with endogeneity (i.e., unobserved confoundedness) in empirical data, where an instrumental variable is available. In this setting, we show that the mean social welfare function can be identified and represented via the ma
The Random Utility Maximization model is by far the most adopted framework to estimate consumer choice behavior. However, behavioral economics has provided strong empirical evidence of irrational choice behavior, such as halo effects, that are incomp