Dennis Kristensen

Nonparametric Identification of Two-Way Unobserved Heterogeneity

We study identification of two-way unobserved heterogeneity in the nonparametric panel regression $G_{it}=g(\alpha_i,\gamma_t)+\varepsilon_{it}$, where identification of the latent types reduces to constructing identified, \emph{injective} proxies for them. To this end we consider the singular value decomposition (SVD)...