A simple approach to quantile regression for panel data

Ivan A. Canay*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

346 Scopus citations

Abstract

This paper provides a set of sufficient conditions that point identify a quantile regression model with fixed effects. It also proposes a simple transformation of the data that gets rid of the fixed effects under the assumption that these effects are location shifters. The new estimator is consistent and asymptotically normal as bothnandTgrow.

Original languageEnglish (US)
Pages (from-to)368-386
Number of pages19
JournalEconometrics Journal
Volume14
Issue number3
DOIs
StatePublished - Oct 2011

Keywords

  • Deconvolution
  • Panel data models
  • Quantile regression
  • Two-step estimator

ASJC Scopus subject areas

  • Economics and Econometrics

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