Set identification via quantile restrictions in short panels

Published

Journal Article

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. © 2011 Elsevier B.V. All rights reserved.

Full Text

Duke Authors

Cited Authors

  • Rosen, AM

Published Date

  • January 1, 2012

Published In

Volume / Issue

  • 166 / 1

Start / End Page

  • 127 - 137

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/j.jeconom.2011.06.011

Citation Source

  • Scopus