Journal Article

Average and quantile effects in nonseparable panel models

Authors

Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn, Whitney K. Newey

Published Date

31 March 2013

Type

Journal Article

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

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