A quantile regression approach for estimating panel data models using instrumental variables
M Harding, C Lamarche - Economics Letters, 2009 - Elsevier
We introduce a quantile regression approach to panel data models with endogenous
variables and individual effects correlated with the independent variables. We find newly …
variables and individual effects correlated with the independent variables. We find newly …
Quantile regression for dynamic panel data with fixed effects
AF Galvao Jr - Journal of Econometrics, 2011 - Elsevier
This paper studies a quantile regression dynamic panel model with fixed effects. Panel data
fixed effects estimators are typically biased in the presence of lagged dependent variables …
fixed effects estimators are typically biased in the presence of lagged dependent variables …
Nonlinear panel data estimation via quantile regressions
M Arellano, S Bonhomme - 2016 - academic.oup.com
We introduce a class of quantile regression estimators for short panels. Our framework
covers static and dynamic autoregressive models, models with general predetermined …
covers static and dynamic autoregressive models, models with general predetermined …
Robust penalized quantile regression estimation for panel data
C Lamarche - Journal of Econometrics, 2010 - Elsevier
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 penalty serves to shrink a vector of individual specific effects toward a common value …
Asymptotics for panel quantile regression models with individual effects
This paper studies panel quantile regression models with individual fixed effects. We
formally establish sufficient conditions for consistency and asymptotic normality of the …
formally establish sufficient conditions for consistency and asymptotic normality of the …
A simple approach to quantile regression for panel data
IA Canay - The econometrics journal, 2011 - academic.oup.com
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 …
model with fixed effects. It also proposes a simple transformation of the data that gets rid of …
Smoothed quantile regression for panel data
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 …
Under an asymptotic framework where both the numbers of individuals and time periods …
A quantile correlated random coefficients panel data model
We propose a generalization of the linear quantile regression model to accommodate
possibilities afforded by panel data. Specifically, we extend the correlated random …
possibilities afforded by panel data. Specifically, we extend the correlated random …
[PDF][PDF] Quantile regression for panel data models with fixed effects and small T: Identification and estimation
M Ponomareva - University of Western Ontario, 2010 - researchgate.net
In this paper I propose a moments-based approach to the identification and estimation of
panel data quantile regression (QR) models with fixed effects when the number of time …
panel data quantile regression (QR) models with fixed effects when the number of time …