Nonparametric identification in panels using quantiles

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

No CWP54/14, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper considers identi?cation and estimation of ceteris paribus effects of continuous regressors in nonseparable panel models with time homogeneity. The effects of interest are derivatives of the average and quantile structural functions of the model. We ?nd that these derivatives are identi?ed with two time periods for “stayers”, i.e. for individuals with the same regressor values in two time periods. We show that the identi?cation results carry over to models that allow location and scale time e?ects. We propose nonparametric series methods and a weighted bootstrap scheme to estimate and make inference on the identi?ed e?ects. The bootstrap proposed allows inference for function-valued parameters such as quantile e?ects uniformly over a region of quantile indices and/or regressor values. An empirical application to Engel curve estimation with panel data illustrates the results.

Keywords: Panel data; nonseparable model; average e?ect; quantile e?ect; Engel curve (search for similar items in EconPapers)
Date: 2014-12-31
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.ifs.org.uk/uploads/cemmap/wps/cwp541414.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (https://www.ifs.org.uk/uploads/cemmap/wps/cwp541414.pdf [302 Found]--> https://ifs.org.uk/uploads/cemmap/wps/cwp541414.pdf)

Related works:
Journal Article: Nonparametric identification in panels using quantiles (2015)
Working Paper: Nonparametric Identification in Panels using Quantiles (2014)
Working Paper: Nonparametric identification in panels using quantiles (2014)
Working Paper: Nonparametric identification in panels using quantiles (2013)
Working Paper: Nonparametric identification in panels using quantiles (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:54/14

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().