Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares

We provide new results showing identification of a large class of fixed- T panel models, where the response variable is an unknown, weakly monotone, time-varying transformation of a latent linear index of fixed effects, regressors, and an error term drawn from an unknown stationary distribution. Our results identify the transformation, the coefficient on regressors, and features of the distribution of the fixed effects. We then develop a …