Nonlinear Panel Data Models: Heterogeneity, Identification and Estimation.

Unobserved heterogeneity is an important factor to take into account when making inference based on micro-data. In linear panel data models it is well known how to control for permanent unobserved heterogeneity in a robust way, i.e. without assuming any parametric distribution of the heterogeneity on the population. In contrast the problem is much more difficult in nonlinear models.