Set identification of panel data models with interactive effects via quantile restrictions

DOI10.1016/j.econlet.2015.10.014zbMath1398.62226OpenAlexW2189692328MaRDI QIDQ1667930

Liang Chen

Publication date: 31 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.10.014

zbMATH Keywords

panel datainteractive effectsset identificationconditional quantile restriction

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Estimating Vector Autoregressions with Panel Data
• Panel data models with multiple time-varying individual effects
• Set identification via quantile restrictions in short panels
• Quantile regression for longitudinal data
• Estimating and testing a quantile regression model with interactive effects
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Panel Data Models With Interactive Fixed Effects
• GMM estimation of linear panel data models with time-varying individual effects

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