Least squares estimation in nonstationary nonlinear cohort panels with learning from experience
具有经验学习机制的非平稳非线性群组面板最小二乘估计
We discuss techniques of estimation and inference for nonstationary nonlinear cohort panels with learning from experience, showing, inter alia, the consistency and asymptotic normality of the nonlinear least squares estimator used in empirical practice. Potential pitfalls for hypothesis testing are identified and solutions proposed. Monte Carlo simulations verify the properties of the estimator and corresponding test statistics in finite samples, while an application to a…