On the unbiased asymptotic normality of quantile regression with fixed effects

DOI10.1016/j.jeconom.2019.12.017zbMath1456.62283arXiv1807.11863OpenAlexW3008132909MaRDI QIDQ2190248

Jiaying Gu, Stanislav Volgushev, Antonio F. jun. Galvao

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.11863

zbMATH Keywords

asymptoticsquantile regressionfixed effectspanel data

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) Asymptotic distribution theory in statistics (62E20)

Related Items (6)

S&P 500 volatility, volatility regimes, and economic uncertainty ⋮ Wild bootstrap inference for penalized quantile regression for longitudinal data ⋮ Panel quantile regression for extreme risk ⋮ Distributed Censored Quantile Regression ⋮ Multi-dimensional latent group structures with heterogeneous distributions ⋮ Penalized quantile regression for spatial panel data with fixed effects

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