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

DOI10.1016/J.ECONLET.2014.05.009zbMath1303.62044OpenAlexW1977723928MaRDI QIDQ485563

Carlos Lamarche, Matthew C. Harding

Publication date: 12 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.05.009

zbMATH Keywords

shrinkageinstrumental variablespanel quantiles

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (1)

Instrumental variables estimation in large heterogeneous panels with multifactor structure

Cites Work

• Instrumental quantile regression inference for structural and treatment effect models
• Robust penalized quantile regression estimation for panel data
• A quantile regression approach for estimating panel data models using instrumental variables
• Quantile regression for longitudinal data
• Estimating and testing a quantile regression model with interactive effects
• Robust semiparametric M-estimation and the weighted bootstrap
• A simple resampling method by perturbing the minimand
• Panel Data and Unobservable Individual Effects
• A Robust Hausman–Taylor Estimator
• An IV Model of Quantile Treatment Effects

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