On the role of time in nonseparable panel data models
This paper contributes to the understanding of the source of identiﬁcation in panel data models. Recent research has established that few time periods suﬃce to identify interesting structural eﬀects in nonseparable panel data models even in the presence of complex correlated unobservables, provided these unobservables are time invariant. A communality of all of these approaches is that they point identify eﬀects only for subpopulations. In this paper we focus on average partial derivatives and continuous explanatory variables. We elaborate on the parallel between time in panels and instrumental variables in cross sections and establish that point identiﬁcation is generically only possible in speciﬁc subpopulations, for ﬁnite T . Moreover, for general subpopulations, we provide sharp bounds. Finally, we show that these bounds converge to point identiﬁcation as T tends to inﬁnity only. We systematize this behavior by comparing it to increasing the number of support points of an instrument. Finally, we apply all of these concepts to the semiparametric panel binary choice model and establish that these issues determine the rates of convergence of estimators for the slope coeﬃcient.
|Date of creation:||05 May 2011|
|Date of revision:|
|Contact details of provider:|| Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE|
Phone: (+44) 020 7291 4800
Fax: (+44) 020 7323 4780
Web page: http://cemmap.ifs.org.uk
More information through EDIRC
|Order Information:|| Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bester, C. Alan & Hansen, Christian, 2009. "Identification of Marginal Effects in a Nonparametric Correlated Random Effects Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 235-250.
- Andrew Chesher, 2005.
"Nonparametric Identification under Discrete Variation,"
Econometric Society, vol. 73(5), pages 1525-1550, 09.
- Andrew Chesher, 2003. "Nonparametric identification under discrete variation," CeMMAP working papers CWP19/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Bryan S. Graham & James Powell, 2008. "Identification and Estimation of 'Irregular' Correlated Random Coefficient Models," NBER Working Papers 14469, National Bureau of Economic Research, Inc.
- Azeem M. Shaikh & Edward J. Vytlacil, 2011. "Partial Identification in Triangular Systems of Equations With Binary Dependent Variables," Econometrica, Econometric Society, vol. 79(3), pages 949-955, 05.
- V. Chernozhukov & Ivan Fernandez-Val, .
"Quantile and Average Effects in Nonseparable Panel Models,"
Boston University - Department of Economics - Working Papers Series
wp2009-011, Boston University - Department of Economics.
- Victor Chernozhukov & Ivan Fernandez-Val & Whitney Newey, 2009. "Quantile and average effects in nonseparable panel models," CeMMAP working papers CWP29/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hoderlein, Stefan & White, Halbert, 2012.
"Nonparametric identification in nonseparable panel data models with generalized fixed effects,"
Journal of Econometrics,
Elsevier, vol. 168(2), pages 300-314.
- Stefan Hoderlein & Halbert White, 2009. "Nonparametric identification in nonseparable panel data models with generalized fixed effects," CeMMAP working papers CWP33/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Stefan Hoderlein & Halbert White, 2009. "Nonparametric Identification in Nonseparable Panel Data Models with Generalized Fixed Effects," Boston College Working Papers in Economics 746, Boston College Department of Economics.
- Manuel Arellano & Stéphane Bonhomme, 2009.
"Identifying distributional characteristics in random coefficients panel data models,"
CeMMAP working papers
CWP22/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Manuel Arellano & Stéphane Bonhomme, 2012. "Identifying Distributional Characteristics in Random Coefficients Panel Data Models," Review of Economic Studies, Oxford University Press, vol. 79(3), pages 987-1020.
- Manuel Arellano & Stéphane Bonhomme, 2009. "Identifying Distributional Characteristics In Random Coefficients Panel Data Models," Working Papers wp2009_0904, CEMFI.
- Joseph G. Altonji & Rosa L. Matzkin, 2001. "Panel Data Estimators for Nonseparable Models with Endogenous Regressors," NBER Technical Working Papers 0267, National Bureau of Economic Research, Inc.
- Myoung-jae Lee, 1999. "A Root-N Consistent Semiparametric Estimator for Related-Effect Binary Response Panel Data," Econometrica, Econometric Society, vol. 67(2), pages 427-434, March.
- Richard Blundell & James Powell, 2001. "Endogeneity in nonparametric and semiparametric regression models," CeMMAP working papers CWP09/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- repec:oup:restud:v:79:y::i:3:p:987-1020 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:ifs:cemmap:15/11. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Emma Hyman)
If references are entirely missing, you can add them using this form.