Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A Time-Varying Endogenous Random Coefficient Model with an Application
  to Production Functions   This paper proposes a random coefficient panel model where the regressors are
correlated with the time-varying random coefficients in each period, a critical
feature in many economic applications. We model the random coefficients as
unknown functions of a fixed effect of arbitrary dimensions, a time-varying
random shock that affects the choice of regressors, and an exogenous
idiosyncratic shock. A sufficiency argument is used to control for the fixed
effect, which enables one to construct a feasible control function for the
random shock and subsequently identify the moments of the random coefficients.
We propose a three-step series estimator and prove an asymptotic normality
result. Simulation results show that the method can accurately estimate both
the mean and the dispersion of the random coefficients. As an application, we
estimate the average output elasticities for a sample of Chinese manufacturing
firms.

35
The categories of this paper are: mtrl-th
14
The categories of this paper are: math-ph
16
The categories of this paper are: stat
30
The categories of this paper are: q-alg
10
The categories of this paper are: q-bio
32
The categories of this paper are: atom-ph
12
The categories of this paper are: nucl-th
36
The categories of this paper are: cmp-lg
8
The categories of this paper are: hep-ex
26
The categories of this paper are: bayes-an
4
The categories of this paper are: cond-mat
2
The categories of this paper are: math
19
The categories of this paper are: eess
27
The categories of this paper are: comp-gas
20
The categories of this paper are: acc-phys
22
The categories of this paper are: chao-dyn