Arbeitspapier
Identification and estimation of marginal effects in nonlinear panel models
This paper gives identification and estimation results for marginal effects in nonlinear panel models. We find that linear fixed effects estimators are not consistent, due in part to marginal effects not being identified. We derive bounds for marginal effects and show that they can tighten rapidly as the number of time series observations grows. We also show in numerical calculations that the bounds may be very tight for small numbers of observations, suggesting they may be useful in practice. We propose two novel inference methods for parameters defined as solutions to linear and nonlinear programs such as marginal effects in multinomial choice models. We show that these methods produce uniformly valid confidence regions in large samples. We give an empirical illustration.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP05/09
- Classification
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Wirtschaft
- Subject
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Nichtlineares Verfahren
Präferenztheorie
Marginalanalyse
- Event
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Geistige Schöpfung
- (who)
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Chernozhukov, Victor
Fernández-Val, Iván
Hahn, Jinyong
Newey, Whitney
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2009
- DOI
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doi:10.1920/wp.cem.2009.0509
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chernozhukov, Victor
- Fernández-Val, Iván
- Hahn, Jinyong
- Newey, Whitney
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2009
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Intersection bounds: Estimation and inference
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Network and panel quantile effects via distribution regression
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Mastering panel metrics: Causal impact of democracy on growth
Pivotal estimation via square-root lasso in nonparametric regression