This paper considers identiﬁcation and estimation of ceteris paribus effects of continuous regressors in nonseparable panel models with time homogeneity. The effects of interest are derivatives of the average and quantile structural functions of the model. We ﬁnd that these derivatives are identiﬁed with two time periods for “stayers”, i.e. for individuals with the same regressor values in two time periods. We show that the identiﬁcation results carry over to models that allow location and scale time eﬀects. We propose nonparametric series methods and a weighted bootstrap scheme to estimate and make inference on the identiﬁed eﬀects. The bootstrap proposed allows inference for function-valued parameters such as quantile eﬀects uniformly over a region of quantile indices and/or regressor values. An empirical application to Engel curve estimation with panel data illustrates the results.
Nonparametric identification in panels using quantiles
Victor Chernozhukov, Ivan Fernandez-Val, Stefan Hoderlein, Whitney K. Newey
31 December 2014
Working Paper (CWP54/14)