Victor Chernozhukov, Iván Fernández-Val, Martin Weidner
arXiv 21 Mar 2018 · Econometrics · publishedJournal of Econometrics (2020) · 12 citations (OpenAlex)
arXiv:1803.08154 · PDF · DOI · OpenAlex · Extracted main text
This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete outcome variables. The method is based upon projection of simultaneous confidence bands for distribution functions constructed from fixed effects distribution regression estimators. These fixed effects estimators are debiased to deal with the incidental parameter problem. Under asymptotic sequences where both dimensions of the data set grow at the same rate, the confidence bands for the quantile functions and effects have correct joint coverage in large samples. An empirical application to gravity models of trade illustrates the applicability of the methods to network data.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Fernandez-Val, I. and M. Weidner (2016) Individual and time effects in nonlinear panel models with large N, T | 1.000 | 16 | 5 | 100% |
| 2 | Chernozhukov, V., I. Fernández-Val, B. Melly, and K. Wüthrich (2016,… (2016) Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes self | 1.000 | 9 | 6 | 100% |
| 3 | van der Vaart, A. W. and J. A. Wellner (1996) Weak convergence | 0.874 | 5 | 2 | 100% |
| 4 | Cruz-Gonzalez, M., I. Fernandez-Val, and M. Weidner (2016, October) (2016) probitfe and logitfe: Bias corrections for probit and logit models with two-way fixed effects | 0.843 | 3 | 3 | 100% |
| 5 | Chernozhukov, V., D. Chetverikov, and K. Kato (2016) Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings self | 0.843 | 3 | 3 | 100% |
| 6 | Charbonneau, K. B (2017) Multiple fixed effects in binary response panel data models | 0.737 | 3 | 2 | 100% |
| 7 | Jochmans, K (2018) Semiparametric analysis of network formation | 0.737 | 3 | 2 | 100% |
| 8 | Chernozhukov, V., I. Fernández-Val, and B. Melly (2013) Inference on counterfactual distributions self | 0.644 | 2 | 2 | 100% |
| 9 | Graham, B. S (2017) An econometric model of link formation with degree heterogeneity | 0.644 | 2 | 2 | 100% |
| 10 | Neyman, J. and E. Scott (1948) Consistent estimates based on partially consistent observations | 0.644 | 2 | 2 | 100% |
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