Identification and estimation of marginal effects in nonlinear panel models

Victor Chernozhukov (), Ivan Fernandez-Val (), Jinyong Hahn and Whitney Newey ()
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Victor Chernozhukov: Institute for Fiscal Studies and Massachusetts Institute of Technology
Whitney Newey: Institute for Fiscal Studies and Massachusetts Institute of Technology

No CWP25/08, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

This paper gives identification and estimation results for marginal effects in nonlinear panel models. We find that linear fixed effects estimators are not consistent, due in part to marginal effects not being identified. We derive bounds for marginal effects and show that they can tighten rapidly as the number of time series observations grows. We also show in numerical calculations that the bounds may be very tight for small numbers of observations, suggesting they may be useful in practice. We give an empirical illustration.

Date: 2008-09
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Related works:
Working Paper: Identification and Estimation of Marginal Effects in Nonlinear Panel Models (2009)
Working Paper: Identification and estimation of marginal effects in nonlinear panel models (2009)
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