Chernozhukov, Victor Fernández-Val, Iván Hahn, Jinyong Newey, Whitney
Year of Publication:
cemmap working paper CWP25/08
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 give an empirical illustration.