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Low-rank approximations of nonseparable panel models

Fernández-Val, I; Freeman, H; Weidner, M; (2021) Low-rank approximations of nonseparable panel models. The Econometrics Journal , 24 (2) C40-C77. 10.1093/ectj/utab007. Green open access

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Abstract

We provide estimation methods for nonseparable panel models based on low-rank factor structure approximations. The factor structures are estimated by matrix-completion methods to deal with the computational challenges of principal component analysis in the presence of missing data. We show that the resulting estimators are consistent in large panels, but suffer from approximation and shrinkage biases. We correct these biases using matching and difference-in-differences approaches. Numerical examples and an empirical application to the effect of election day registration on voter turnout in the US illustrate the properties and usefulness of our methods.

Type: Article
Title: Low-rank approximations of nonseparable panel models
Open access status: An open access version is available from UCL Discovery
DOI: 10.1093/ectj/utab007
Publisher version: https://doi.org/10.1093/ectj/utab007
Language: English
Additional information: © The Author(s) 2021. Published by Oxford University Press on behalf of Royal Economic Society. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted reuse, distribution, and reproduction in any medium, provided the original work is properly cited.
Keywords: Nonseparable panel, low-rank approximations, matrix completion, debias, twoway matching, election day registration
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/10137589
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