Nonparametric identification in panels using quantiles
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 identif...
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| Formaat: | Artikel |
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Elsevier BV
2018
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| Online toegang: | http://hdl.handle.net/1721.1/119462 https://orcid.org/0000-0002-3250-6714 https://orcid.org/0000-0003-2699-4704 |
| _version_ | 1826198420005584896 |
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| author | Fernández-Val, Iván Hoderlein, Stefan Holzmann, Hajo Chernozhukov, Victor V Newey, Whitney K |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Fernández-Val, Iván Hoderlein, Stefan Holzmann, Hajo Chernozhukov, Victor V Newey, Whitney K |
| author_sort | Fernández-Val, Iván |
| collection | MIT |
| description | 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. Keywords: Panel data, nonseparable model, average effect, quantile effect, Engel curve |
| first_indexed | 2024-09-23T11:04:36Z |
| format | Article |
| id | mit-1721.1/119462 |
| institution | Massachusetts Institute of Technology |
| last_indexed | 2024-09-23T11:04:36Z |
| publishDate | 2018 |
| publisher | Elsevier BV |
| record_format | dspace |
| spelling | mit-1721.1/1194622022-10-01T01:01:06Z Nonparametric identification in panels using quantiles Fernández-Val, Iván Hoderlein, Stefan Holzmann, Hajo Chernozhukov, Victor V Newey, Whitney K Massachusetts Institute of Technology. Department of Economics Chernozhukov, Victor V Newey, Whitney K 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. Keywords: Panel data, nonseparable model, average effect, quantile effect, Engel curve National Science Foundation (U.S.) 2018-12-07T15:39:57Z 2018-12-07T15:39:57Z 2015-10 2018-12-04T13:45:13Z Article http://purl.org/eprint/type/JournalArticle 0304-4076 http://hdl.handle.net/1721.1/119462 Chernozhukov, Victor, Iván Fernández-Val, Stefan Hoderlein, Hajo Holzmann, and Whitney Newey. “Nonparametric Identification in Panels Using Quantiles.” Journal of Econometrics 188, no. 2 (October 2015): 378–392. https://orcid.org/0000-0002-3250-6714 https://orcid.org/0000-0003-2699-4704 http://dx.doi.org/10.1016/J.JECONOM.2015.03.006 Journal of Econometrics Creative Commons Attribution-NonCommercial-NoDerivs License http://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf Elsevier BV arXiv |
| spellingShingle | Fernández-Val, Iván Hoderlein, Stefan Holzmann, Hajo Chernozhukov, Victor V Newey, Whitney K Nonparametric identification in panels using quantiles |
| title | Nonparametric identification in panels using quantiles |
| title_full | Nonparametric identification in panels using quantiles |
| title_fullStr | Nonparametric identification in panels using quantiles |
| title_full_unstemmed | Nonparametric identification in panels using quantiles |
| title_short | Nonparametric identification in panels using quantiles |
| title_sort | nonparametric identification in panels using quantiles |
| url | http://hdl.handle.net/1721.1/119462 https://orcid.org/0000-0002-3250-6714 https://orcid.org/0000-0003-2699-4704 |
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