Set identification via quantile restrictions in short panels

Arbeitspapier

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 identification of individual parameter components.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: cemmap working paper ; No. CWP26/09

Classification and Topics

• Classification: Wirtschaft
• Subject: bound analysis ; conditional quantiles ; partial identification ; panel data ; fixed effects ; Mathematik

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Rosen, Adam
• Event: Veröffentlichung
• (who): Centre for Microdata Methods and Practice (cemmap)
• (where): London
• (when): 2009

Further information

• DOI: doi:10.1920/wp.cem.2009.2609
• Handle: http://hdl.handle.net/10419/64674
• Last update: 10.03.2025, 11:42 AM CET