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Nonlinear panel data estimation via quantile regressions

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  • Manuel Arellano
  • Stéphane Bonhomme

Abstract

We introduce a class of quantile regression estimators for short panels. Our framework covers static and dynamic autoregressive models, models with general predetermined regressors and models with multiple individual effects. We use quantile regression as a flexible tool to model the relationships between outcomes, covariates and heterogeneity. We develop an iterative simulation‐based approach for estimation, which exploits the computational simplicity of ordinary quantile regression in each iteration step. Finally, an application to measure the effect of smoking during pregnancy on birthweight completes the paper.

Suggested Citation

  • Manuel Arellano & Stéphane Bonhomme, 2016. "Nonlinear panel data estimation via quantile regressions," Econometrics Journal, Royal Economic Society, vol. 19(3), pages 61-94, October.
    • Handle: RePEc:wly:emjrnl:v:19:y:2016:i:3:p:c61-c94
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    File URL: http://hdl.handle.net/10.1111/ectj.12062
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    References listed on IDEAS

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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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