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

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  • Harding, Matthew
  • Lamarche, Carlos

Abstract

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.

Suggested Citation

  • Harding, Matthew & Lamarche, Carlos, 2009. "A quantile regression approach for estimating panel data models using instrumental variables," Economics Letters, Elsevier, vol. 104(3), pages 133-135, September.
  • Handle: RePEc:eee:ecolet:v:104:y:2009:i:3:p:133-135
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    References listed on IDEAS

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    1. Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
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    6. Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, vol. 142(1), pages 379-398, January.
    7. 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.
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