A simple approach to quantile regression for panel data

Ivan A. Canay

doi:10.1111/j.1368-423X.2011.00349.x

A simple approach to quantile regression for panel data

Ivan A. Canay^*

^*Corresponding author for this work

Economics

Research output: Contribution to journal › Article › peer-review

694 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 language	English (US)
Pages (from-to)	368-386
Number of pages	19
Journal	Econometrics Journal
Volume	14
Issue number	3
DOIs	https://doi.org/10.1111/j.1368-423X.2011.00349.x
State	Published - Oct 2011

Keywords

Deconvolution
Panel data models
Quantile regression
Two-step estimator

ASJC Scopus subject areas

Economics and Econometrics

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10.1111/j.1368-423X.2011.00349.x

Cite this

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title = "A simple approach to quantile regression for panel data",

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.",

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KW - Two-step estimator

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A simple approach to quantile regression for panel data

Abstract

Keywords

ASJC Scopus subject areas

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