Estimation of Random-Coefficient Dynamic Panel Data Models with a Fixed T

Xun Tang; Pei Yu

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arXiv · 2608.23988

Estimation of Random-Coefficient Dynamic Panel Data Models with a Fixed T

Xun Tang·Pei Yu

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Abstract

We study dynamic linear panel data models in which the lagged outcomes and strictly exogenous covariates carry individual-specific coefficients and the time-varying errors have a flexible covariance structure. With a fixed number of time periods, we point-identify the joint distribution of the random coefficients and the structural errors under a distributional form of strict exogeneity, and propose a closed-form, multi-step estimator based on the inverse Radon transform. We establish a uniform convergence rate for the estimator of the random coefficient density, as well as uniform consistency of the estimator for the conditional density of the time-varying structural errors. Monte Carlo simulations demonstrate good finite-sample performance of the estimators.

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Xun Tang, Pei Yu. 2026-08-25. Estimation of Random-Coefficient Dynamic Panel Data Models with a Fixed T. https://arxiv.org/abs/2608.23988

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