Set identification of panel data models with interactive effects via quantile restrictions

Liang Chen

Economics Letters, 2015, vol. 137, issue C, 36-40

Abstract: In this paper we study the identification via conditional quantile restrictions of panel data models where the individual and time effects enter the model interactively. It is shown that the parameters are set identified under a weak conditional independence assumption on the error terms and a support restriction on the time effects, while the distributions of the individual effects are unrestricted.

Keywords: Panel data; Conditional quantile restriction; Set identification; Interactive effects (search for similar items in EconPapers)
JEL-codes: C31 C33 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:137:y:2015:i:c:p:36-40

DOI: 10.1016/j.econlet.2015.10.014

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