Set identification via quantile restrictions in short panels

Adam Rosen

No CWP26/09, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

This paper studies the identifying power of conditional quantile restrictions in short panels with fixed effects. In contrast to classical fixed effects models with conditional mean restrictions, conditional quantile restrictions are not preserved by taking differences in the regression equation over time. This paper shows however that a conditional quantile restriction, in conjunction with a weak conditional independence restriction, provides bounds on quantiles of differences in time-varying unobservables across periods. These bounds carry observable implications for model parameters which generally result in set identification. The analysis of these bounds includes conditions for point identification of the parameter vector, as well as weaker conditions that result in identification of individual parameter components.

Date: 2009-09-16
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (11)

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http://cemmap.ifs.org.uk/wps/cwp2609.pdf (application/pdf)

Related works:
Journal Article: Set identification via quantile restrictions in short panels (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:26/09

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