This paper is based in part on the second chapter of Fernández-Val (2005). We wish to thank Josh Angrist, Victor Chernozhukov, and Whitney Newey for encouragement and advice. For suggestions and comments, we are grateful to Manuel Arellano, Mingli Chen, the editor, three anonymous referees, and the participants at the Brown and Harvard–MIT Econometrics seminar. We thank Aju Fenn for providing the data for the empirical example. All remaining errors are ours. Fernández-Val gratefully acknowledges financial support from Fundación Caja Madrid, Fundación Ramón Areces, and the National Science Foundation.

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# Panel data models with nonadditive unobserved heterogeneity: Estimation and inference

Version of Record online: 18 NOV 2013

DOI: 10.3982/QE75

Copyright © 2013 Iván Fernández-Val and Joonhwah Lee

Additional Information

#### How to Cite

Fernández-Val, I. and Lee, J. (2013), Panel data models with nonadditive unobserved heterogeneity: Estimation and inference. Quantitative Economics, 4: 453–481. doi: 10.3982/QE75

#### Publication History

- Issue online: 18 NOV 2013
- Version of Record online: 18 NOV 2013
- Submitted April, 2010. Final version accepted January, 2013.

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