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A simple estimator for quantile panel data models using smoothed quantile regressions

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  • Liang Chen
  • Yulong Huo

Abstract

SummaryThis paper considers panel data models where the idiosyncratic errors are subject to conditonal quantile restrictions. We propose a two-step estimator based on smoothed quantile regressions that is easy to implement. The asymptotic distribution of the estimator is established, and the analytical expression of its asymptotic bias is derived. Building on these results, we show how to make asymptotically valid inference on the basis of both analytical and split-panel jackknife bias corrections. Finite-sample simulations are used to support our theoretical analysis and to illustrate the importance of bias correction in quantile regressions for panel data. Finally, in an empirical application, the proposed method is used to study the growth effects of foreign direct investment.

Suggested Citation

  • Liang Chen & Yulong Huo, 2021. "A simple estimator for quantile panel data models using smoothed quantile regressions," The Econometrics Journal, Royal Economic Society, vol. 24(2), pages 247-263.
    • Handle: RePEc:oup:emjrnl:v:24:y:2021:i:2:p:247-263.
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    File URL: http://hdl.handle.net/10.1093/ectj/utaa023
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    Citations

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    Cited by:

    1. Jia Chen Author-Name-First: Jia & Yongcheol Shin & Chaowen Zheng, 2023. "Dynamic Quantile Panel Data Models with Interactive Effects," Economics Discussion Papers em-dp2023-06, Department of Economics, University of Reading.
    2. Li Tao & Lingnan Tai & Manling Qian & Maozai Tian, 2023. "A New Instrumental-Type Estimator for Quantile Regression Models," Mathematics, MDPI, vol. 11(15), pages 1-26, August.
    3. Besstremyannaya, Galina & Golovan, Sergei, 2021. "Measuring heterogeneity with fixed effect quantile regression: Long panels and short panels," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 64, pages 70-82.

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