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Set identification via quantile restrictions in short panels

Authors: Adam Rosen
Date: 31 January 2012
Type: Journal Article, Journal of Econometrics, Vol. 166, No. 1, pp. 127--137
DOI: 10.1016/j.jeconom.2011.06.011

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 point identification of individual parameter components.

Previous version:
Adam Rosen September 2009, Set identification via quantile restrictions in short panels, cemmap Working Paper, CWP26/09

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