Michael Massmann

Séminaires thématiques
big data and econometrics seminar

Michael Massmann

Otto Beisheim School of Management
Least squares estimation in nonlinear cohort panels

IBD Salle 15

Îlot Bernard du Bois - Salle 15

5-9 boulevard Maurice Bourdet
13001 Marseille

Mardi 17 octobre 2023| 14:00 - 15:30

Michel Lubrano : michel.lubrano[at]univ-amu.fr
Pierre Michel : pierre.michel[at]univ-amu.fr


We discuss techniques of estimation and inference for nonlinear cohort panels with learning from experience, showing, inter alia, the consistency and asymptotic normality of the nonlinear least squares estimator employed in the seminal paper by Malmendier and Nagel (2016, QJE). 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 panel of survey expectations demonstrates the usefulness of the theory developed.