A Hausman–Taylor instrumental variable approach to the penalized estimation of quantile panel models

A Hausman–Taylor instrumental variable approach to the penalized estimation of quantile panel models

This paper proposes an ℓ1 penalized quantile regression estimator which adapts the Hausman–Taylor instrumental variable approach in order to address the bias resulting from the shrinkage of the individual effects.

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Veröffentlicht in:Economics letters 2014-08, Vol.124 (2), p.176-179
Hauptverfasser: Harding, Matthew, Lamarche, Carlos
Format: Artikel
Sprache:eng
Schlagworte:
Economic models
Economic theory
Estimating techniques
Estimation
Estimation bias
Instrumental variables
Panel quantiles
Regression analysis
Shrinkage
Studies
Taylor rule
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Zusammenfassung:This paper proposes an ℓ1 penalized quantile regression estimator which adapts the Hausman–Taylor instrumental variable approach in order to address the bias resulting from the shrinkage of the individual effects.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2014.05.009