This note discusses two errors in the approach proposed in Canay for constructing a
computationally simple two-step estimator in a quantile regression model with quantile …

This paper provides a set of sufficient conditions that point identify a quantile regression
model with fixed effects. It also proposes a simple transformation of the data that gets rid of …

This paper studies panel quantile regression models with individual fixed effects. We
formally establish sufficient conditions for consistency and asymptotic normality of the …

This paper studies fixed effects estimation of quantile regression models for panel data.
Under an asymptotic framework where both the numbers of individuals and time periods …

We present the asymptotic properties of double‐stage quantile regression estimators with
random regressors, where the first stage is based on quantile regressions with the same …

We introduce a class of quantile regression estimators for short panels. Our framework
covers static and dynamic autoregressive models, models with general predetermined …

This paper investigates a class of penalized quantile regression estimators for panel data.
The penalty serves to shrink a vector of individual specific effects toward a common value …

The desire to capture heterogeneity in the response of the dependent variable to covariates
often forces empiricists to employ panel data quantile regression models. Very often …

This paper studies panel quantile regression models with fixed effects. We formally establish
sufficient conditions for consistency and asymptotic normality of the quantile regression …

We propose a generalization of the linear quantile regression model to accommodate
possibilities afforded by panel data. Specifically, we extend the correlated random …