Working Paper

Quantile and average effects in nonseparable panel models


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

Published Date

9 October 2009


Working Paper (CWP29/09)

This paper gives identification and estimation results for quantile and average effects in nonseparable panel models, when the distribution of period specific disturbances does not vary over time. Bounds are given for interesting effects with discrete regressors that are strictly exogenous or predetermined. We allow for location and scale time effects and show how monotonicity can be used to shrink the bounds. We derive rates at which the bounds tighten as the number T of time series observations grows and give an empirical illustration.