Quantile and Average Effects in Nonseparable Panel Models
This paper gives identification and estimation results for quantile and average effects in nonseparable panel models, when the distribution of period specific disturbances does not vary over time. Bounds are given for interesting effects with discrete regressors that are strictly exogenous or predetermined. We allow for location and scale time effects and show how monotonicity can be used to shrink the bounds. We derive rates at which the bounds tighten as the number T of time series observations grows and give an empirical illustration.
Authors: | Chernozhukov, V. ; Fernandez-Val, Ivan |
---|---|
Institutions: | Department of Economics, Boston University |
Saved in:
Saved in favorites
Similar items by person
-
Fixed Effects Estimation of Structural Parameters and Marginal Effects in Panel Probit Models
Fernandez-Val, Ivan, (2007)
-
Identification and Estimation of Marginal Effects in Nonlinear Panel Models
Chernozhukov, Victor, (2009)
-
Censored Quantile Instrumental Variable Estimation via Control Functions
Chernozhukov, Victor,
- More ...