BOUNDED SUPPORT IN LINEAR RANDOM COEFFICIENT MODELS: IDENTIFICATION AND VARIABLE SELECTION
线性随机系数模型中的有界支持：识别与变量选择
We consider linear random coefficient regression models, where the regressors are allowed to have a finite support. First, we investigate identification, and show that the means and the variances and covariances of the random coefficients are identified from the first two conditional moments of the response given the covariates if the support of the covariates, excluding the intercept, contains a Cartesian product with at least three points in each coordinate. We also…