Quantile and average effects in nonseparable panel models

Victor Chernozhukov, Ivan Fernandez-Val () and Whitney Newey

No CWP29/09, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

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.

Date: 2009-10-09
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http://cemmap.ifs.org.uk/wps/cwp2909.pdf (application/pdf)

Related works:
Working Paper: Quantile and Average Effects in Nonseparable Panel Models
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Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:29/09

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