centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre


Keep in touch

Subscribe to cemmap news

Average and quantile effects in nonseparable panel models

Authors: Victor Chernozhukov , Ivan Fernandez-Val , Jinyong Hahn and Whitney K. Newey
Date: 31 March 2013
Type: Journal article, Econometrica, Vol. 78, No. 5, pp. 1569--1591


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.

Previous version:
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

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us