399 citations · 620 across the 11 of their papers we have counts for
11 papers · 1 filter
Parametric Modeling of Quantile Regression Coefficient Functions with Longitudinal Data
Paolo Frumento, Matteo Bottai, Iván Fernández-Val
In ordinary quantile regression, quantiles of different order are estimated one at a time. An alternative approach, which is referred to as quantile regression coefficients modelin…
probitfe and logitfe: Bias corrections for probit and logit models with two-way fixed effects
Mario Cruz-Gonzalez, Ivan Fernandez-Val, Martin Weidner
We present the Stata commands probitfe and logitfe, which estimate probit and logit panel data models with individual and/or time unobserved effects. Fixed effect panel data method…
The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages
Victor Chernozhukov, Ivan Fernandez-Val, Ye Luo
The partial (ceteris paribus) effects of interest in nonlinear and interactive linear models are heterogeneous as they can vary dramatically with the underlying observed or unobser…
Nonlinear Factor Models for Network and Panel Data
Mingli Chen, Iván Fernández-Val, Martin Weidner
Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-…
Nonparametric Identification in Panels using Quantiles
Victor Chernozhukov, Ivan Fernandez-Val, Stefan Hoderlein +2
This paper considers identification and estimation of ceteris paribus effects of continuous regressors in nonseparable panel models with time homogeneity. The effects of interest a…
Individual and Time Effects in Nonlinear Panel Models with Large N, T
Ivan Fernandez-Val, Martin Weidner
We derive fixed effects estimators of parameters and average partial effects in (possibly dynamic) nonlinear panel data models with individual and time effects. They cover logit, p…
Panel Data Models with Nonadditive Unobserved Heterogeneity: Estimation and Inference
Ivan Fernandez-Val, Joonhwah Lee
This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest…
Average and Quantile Effects in Nonseparable Panel Models
Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn +1
Nonseparable panel models are important in a variety of economic settings, including discrete choice. This paper gives identification and estimation results for nonseparable models…
Rearranging Edgeworth-Cornish-Fisher Expansions
Victor Chernozhukov, Ivan Fernandez-Val, Alfred Galichon
This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribu…
Improving Estimates of Monotone Functions by Rearrangement
Victor Chernozhukov, Ivan Fernandez-Val, Alfred Galichon
Suppose that a target function is monotonic, namely, weakly increasing, and an original estimate of the target function is available, which is not weakly increasing. Many common es…
Quantile and Probability Curves Without Crossing
Victor Chernozhukov, Ivan Fernandez-Val, Alfred Galichon
This paper proposes a method to address the longstanding problem of lack of monotonicity in estimation of conditional and structural quantile functions, also known as the quantile…