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A quantile regression approach for estimating panel data models using instrumental variables

  • Harding, Matthew
  • Lamarche, Carlos
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    We introduce a quantile regression approach to panel data models with endogenous variables and individual effects correlated with the independent variables. We find newly developed quantile regression methods can be easily adapted to estimate this class of models efficiently.

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    File URL: http://www.sciencedirect.com/science/article/B6V84-4W741VF-1/2/c5a09b3045d8c6585570b2eecae3d360
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 104 (2009)
    Issue (Month): 3 (September)
    Pages: 133-135

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    Handle: RePEc:eee:ecolet:v:104:y:2009:i:3:p:133-135
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Victor Chernozhukov & Christian Hansen, 2004. "The Effects of 401(K) Participation on the Wealth Distribution: An Instrumental Quantile Regression Analysis," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 735-751, August.
    2. Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
    3. repec:cup:cbooks:9780521845731 is not listed on IDEAS
    4. Lamarche, Carlos, 2008. "Private school vouchers and student achievement: A fixed effects quantile regression evaluation," Labour Economics, Elsevier, vol. 15(4), pages 575-590, August.
    5. repec:cup:cbooks:9780521608275 is not listed on IDEAS
    6. Hausman Jerry A. & Sidak J. Gregory, 2004. "Why Do the Poor and the Less-Educated Pay More for Long-Distance Calls?," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 3(1), pages 1-29, April.
    7. Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, vol. 142(1), pages 379-398, January.
    8. Cecilia Elena Rouse, 1998. "Private School Vouchers And Student Achievement: An Evaluation Of The Milwaukee Parental Choice Program," The Quarterly Journal of Economics, MIT Press, vol. 113(2), pages 553-602, May.
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