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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: 02 March 2009
Type: cemmap Working Paper, CWP05/09
DOI: 10.1920/wp.cem.2009.0509

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 propose two novel inference methods for parameters defined as solutions to linear and nonlinear programs such as marginal effects in multinomial choice models. We show that these methods produce uniformly valid confidence regions in large samples. We give an empirical illustration.

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Now published:
Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn and Whitney K. Newey March 2013, Average and quantile effects in nonseparable panel models, Journal Article, Econometric Society
Previous version:
Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn and Whitney K. Newey September 2008, Identification and estimation of marginal effects in nonlinear panel models, cemmap Working Paper, CWP25/08

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