Estimating and testing a quantile regression model with interactive effects

DOI10.1016/j.jeconom.2013.08.010zbMath1293.62185OpenAlexW2164374257MaRDI QIDQ2512602

Matthew C. Harding, Carlos Lamarche

Publication date: 7 August 2014

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

Full work available at URL: http://hdl.handle.net/10419/62512

zbMATH Keywords

quantile regressionpanel datainstrumental variablesinteractive effects

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Applications of statistics to social sciences (62P25) Linear inference, regression (62J99)

Related Items (12)

Shrinkage estimation of fixed and random effects in linear quantile mixed models ⋮ Inferences in panel data with interactive effects using large covariance matrices ⋮ Set identification of panel data models with interactive effects via quantile restrictions ⋮ Instrumental variables estimation in large heterogeneous panels with multifactor structure ⋮ On the unbiased asymptotic normality of quantile regression with fixed effects ⋮ Sieve instrumental variable quantile regression estimation of functional coefficient models ⋮ A Hausman-Taylor instrumental variable approach to the penalized estimation of quantile panel models ⋮ Bayesian analysis of dynamic panel data by penalized quantile regression ⋮ A panel quantile approach to attrition bias in big data: evidence from a randomized experiment ⋮ Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity ⋮ A quantile correlated random coefficients panel data model ⋮ Constrained Bayesian doubly elastic net Lasso for linear quantile mixed models

Uses Software

• quantreg

Cites Work

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