Objective Modern economic research emphasizes heterogeneity in various dimensions, such as individual preferences or firms’ technology. From an empirical perspective, the presence of unobserved heterogeneity (to the econometrician) creates challenging identification and estimation problems. In this proposal we explore these issues in a context where repeated observations are available for the same individual, and the researcher disposes of panel data. Most research to date adopts either of three approaches. One approach consists in modeling the distribution of unobserved heterogeneity, following a random-effects perspective (Chamberlain, 1984). Another approach looks for clever model-specific ways of differencing out the unobserved heterogeneity (Andersen, 1970, Honore and Kyriazidou, 2000). A more recent line of research relies on approximations that become more accurate when the number of observations per individual T gets large (Arellano and Hahn, 2006). Here we consider situations where T may be small, and the researcher does not restrict the distribution of the unobserved fixed effects. We will propose a new functional differencing approach which differences out the probability distribution of unobserved heterogeneity. This approach will generally be applicable in models with continuous dependent variables, emphasizing a possibility of point-identification of the structural parameters in those models. When outcomes are discrete, we will propose a nonlinear differencing strategy that delivers useful bounds on parameters in the presence of partial identification (Honore and Tamer, 2006). Programme(s) FP7-IDEAS-ERC - Specific programme: "Ideas" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013) Topic(s) ERC-SG-SH1 - ERC Starting Grant - Individuals, institutions and markets Call for proposal ERC-2010-StG_20091209 See other projects for this call Funding Scheme ERC-SG - ERC Starting Grant Coordinator FUNDACION CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS EU contribution € 1 410 000,00 Address Casado del alisal 5 28014 Madrid Spain See on map Region Comunidad de Madrid Comunidad de Madrid Madrid Activity type Research Organisations Administrative Contact Gema Salazar (Ms.) Principal investigator Stephane Olivier Bonhomme (Dr.) Links Contact the organisation Opens in new window Website Opens in new window Total cost No data Beneficiaries (1) Sort alphabetically Sort by EU Contribution Expand all Collapse all FUNDACION CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS Spain EU contribution € 1 410 000,00 Address Casado del alisal 5 28014 Madrid See on map Region Comunidad de Madrid Comunidad de Madrid Madrid Activity type Research Organisations Administrative Contact Gema Salazar (Ms.) Principal investigator Stephane Olivier Bonhomme (Dr.) Links Contact the organisation Opens in new window Website Opens in new window Total cost No data