Average and quantile effects in nonseparable panel models

DOI10.3982/ECTA8405MaRDI QIDQ2857548zbMATH OpenOpenAlexFDO

Authors Victor Chernozhukov, Iván Fernández-Val, Jinyong Hahn, Whitney Newey

Publication date 4 November 2013

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0904.1990

zbMATH Keywords

panel datalabor force participationtreatment effectsnonseparable modelunion premiumperturbed bootstrap

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Abstract: Nonseparable panel models are important in a variety of economic settings, including discrete choice. This paper gives identification and estimation results for nonseparable models under time homogeneity conditions that are like "time is randomly assigned" or "time is an instrument." Partial identification results for average and quantile effects are given for discrete regressors, under static or dynamic conditions, in fully nonparametric and in semiparametric models, with time effects. It is shown that the usual, linear, fixed-effects estimator is not a consistent estimator of the identified average effect, and a consistent estimator is given. A simple estimator of identified quantile treatment effects is given, providing a solution to the important problem of estimating quantile treatment effects from panel data. Bounds for overall effects in static and dynamic models are given. The dynamic bounds provide a partial identification solution to the important problem of estimating the effect of state dependence in the presence of unobserved heterogeneity. The impact of $T$, the number of time periods, is shown by deriving shrinkage rates for the identified set as $T$ grows. We also consider semiparametric, discrete-choice models and find that semiparametric panel bounds can be much tighter than nonparametric bounds. Computationally-convenient methods for semiparametric models are presented. We propose a novel inference method that applies in panel data and other settings and show that it produces uniformly valid confidence regions in large samples. We give empirical illustrations.

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(65)

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• Estimation of Censored Quantile Regression for Panel Data With Fixed Effects
• Nonlinear panel data models with distribution-free correlated random effects

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