Back to Feedback: Dynamics and Heterogeneity in Panel Data

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ID: 326858
2026
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Abstract
Abstract Many popular estimation methods in panel data rely on the assumption that the covariates of interest are strictly exogenous. However, this assumption is empirically restrictive in a wide range of settings. In this article I argue that credible empirical work requires meaningfully relaxing strict exogeneity assumptions. Econometricians have developed methods that allow for sequential exogeneity, which in contrast with strict exogeneity allows for the presence of feedback from past outcomes to future covariates or treatments. I review some of the classic work on linear models with constant coefficients, and then describe some approaches that allow for coefficient heterogeneity in models with feedback. Finally, in the last two parts of the article I review recent work that allows for sequential exogeneity in nonlinear panel data models, and mention possible extensions to network settings.
Reference Key
openalex_W7116938030 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Stéphane Bonhomme
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Journal econometrics journal
Year 2026
DOI
10.1093/ectj/utag027
URL
https://doi.org/10.1093/ectj/utag027
Keywords Keywords not found

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