Research FellowCentre for Monetary and Financial Studies (CEMFI)
Manuel is a Professor of Econometrics at CEMFI and a Research Fellow of the IFS. His research interests include microeconometrics, the evaluation of public policies, panel data econometrics and nonlinear panel data models.
PhD Economics, London School of Economics and Political Science, 1985
MSc Econometrics and Mathematical Economics, London School of Economics and Political Science, 1982
Licenciado Ciencias Economicas, Universidad de Barcelona, 1979
Recent developments in nonlinear panel data analysis allow identifying and estimating general dynamic systems. In this review we describe some results and techniques for nonparametric identification and flexible estimation in the presence of time-invariant and time-varying latent variables.
We propose a method to correct for sample selection in quantile regression models. Selection is modelled via the cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation decision. Copula parameters are estimated by minimizing a method-of-moments criterion. Given these parameter estimates, the percentile levels of the outcome are re-adjusted to correct for selection, and quantile parameters are estimated by minimizing a rotated “check” function. We apply the method to correct wage percentiles for selection into employment, using data for the UK for the period 1978-2000. We also extend the method to account for the presence of equilibrium eﬀects when performing counterfactual exercises.