A simple approach to quantile regression for panel data

A simple approach to quantile regression for panel data

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 the fixed effects under the assumption that these effects are location shifters. The new estimator is consisten...

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Veröffentlicht in:The econometrics journal 2011-10, Vol.14 (3), p.368-386
1. Verfasser: Canay, Ivan A.
Format: Artikel
Sprache:eng
Schlagworte:
Applied economics
Asymptotic methods
Consistent estimators
Covariance
Data models
Deconvolution
Econometric models
Econometrics
Economic models
Eigenfunctions
Estimating techniques
Estimation
Estimation bias
Estimators
Fixed effects
Panel data
Panel data models
Quantile regression
Quantile regression model
Random variables
Regression analysis
Studies
Two-step estimator
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Beschreibung
Zusammenfassung: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 the fixed effects under the assumption that these effects are location shifters. The new estimator is consistent and asymptotically normal as both n and T grow.
ISSN:1368-4221
1368-423X
DOI:10.1111/j.1368-423X.2011.00349.x