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Set identification via quantile restrictions in short panels

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  • Rosen, Adam M.

Abstract

This paper studies the identifying power of conditional quantile restrictions in short panels with fixed effects. In contrast to classical fixed effects models with conditional mean restrictions, conditional quantile restrictions are not preserved by taking differences in the regression equation over time. This paper shows however that a conditional quantile restriction, in conjunction with a weak conditional independence restriction, provides bounds on quantiles of differences in time-varying unobservables across periods. These bounds carry observable implications for model parameters which generally result in set identification. The analysis of these bounds includes conditions for point identification of the parameter vector, as well as weaker conditions that result in point identification of individual parameter components.

Suggested Citation

  • Rosen, Adam M., 2012. "Set identification via quantile restrictions in short panels," Journal of Econometrics, Elsevier, vol. 166(1), pages 127-137.
    • Handle: RePEc:eee:econom:v:166:y:2012:i:1:p:127-137
    DOI: 10.1016/j.jeconom.2011.06.011
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    More about this item

    Keywords

    Bound analysis; Conditional quantiles; Partial identification; Panel data; Fixed effects;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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