Identification in Nonlinear Dynamic Panel Models under Partial Stationarity

Abstract

This paper provides a general identification approach for a wide range of nonlinear panel data models, including binary choice, ordered response, and other types of limited dependent variable models. Our approach accommodates dynamic models with any number of lagged dependent variables as well as other types of endogenous covariates. Our identification strategy relies on a partial stationarity condition, which allows for not only an unknown distribution of errors, but also temporal dependencies in errors. We derive partial identification results under flexible model specifications and establish sharpness of our identified set in the binary choice setting. We demonstrate the robust finite-sample performance of our approach using Monte Carlo simulations, and apply the approach to the empirical analysis of income categories using various ordered choice models.