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Identification and estimation of marginal effects in nonlinear panel models

Authors: Victor Chernozhukov , Ivan Fernandez-Val , Jinyong Hahn and Whitney K. Newey
Date: 23 September 2008
Type: cemmap Working Paper, CWP25/08
DOI: 10.1920/wp.cem.2008.2508

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.

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Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn and Whitney K. Newey March 2009, Identification and estimation of marginal effects in nonlinear panel models, cemmap Working Paper, CWP05/09

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