A simple approach to quantile regression for panel data

被引：724

作者：

Canay, Ivan A. ^{[1
]}

机构：

[1] Northwestern Univ, Dept Econ, Evanston, IL 60208 USA

来源：

ECONOMETRICS JOURNAL | 2011年 / 14卷 / 03期

关键词：

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

D O I：

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

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 both n and T grow.

引用

页码：368 / 386

页数：19

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