On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study
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References listed on IDEAS
- Joel L. Horowitz, 1998. "Bootstrap Methods for Median Regression Models," Econometrica, Econometric Society, vol. 66(6), pages 1327-1352, November.
- Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
- Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
- Wang, Huixia & He, Xuming, 2007. "Detecting Differential Expressions in GeneChip Microarray Studies: A Quantile Approach," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 104-112, March.
- Kato, Kengo & F. Galvao, Antonio & Montes-Rojas, Gabriel V., 2012. "Asymptotics for panel quantile regression models with individual effects," Journal of Econometrics, Elsevier, vol. 170(1), pages 76-91.
- Galvao, Antonio F. & Wang, Liang, 2015. "Efficient minimum distance estimator for quantile regression fixed effects panel data," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 1-26.
- Buchinsky, Moshe, 1995. "Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study," Journal of Econometrics, Elsevier, vol. 68(2), pages 303-338, August.
- Antonio F. Galvao & Carlos Lamarche & Luiz Renato Lima, 2013. "Estimation of Censored Quantile Regression for Panel Data With Fixed Effects," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(503), pages 1075-1089, September.
- Hahn, Jinyong, 1995. "Bootstrapping Quantile Regression Estimators," Econometric Theory, Cambridge University Press, vol. 11(1), pages 105-121, February.
- G. Kapetanios, 2008. "A bootstrap procedure for panel data sets with many cross-sectional units," Econometrics Journal, Royal Economic Society, vol. 11(2), pages 377-395, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Frantisek Cech & Jozef Barunik, 2017.
"Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns,"
- Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
- Adrian, Tobias & Grinberg, Federico & Liang, Nellie & Malik, Sheherya, 2018. "The Term Structure of Growth-at-Risk," CEPR Discussion Papers 13349, C.E.P.R. Discussion Papers.
- Galina Besstremyannaya & Sergei Golovan, 2019. "Reconsideration of a simple approach to quantile regression for panel data: a comment on the Canay (2011) fixed effects estimator," Working Papers w0249, Center for Economic and Financial Research (CEFIR).
- repec:gam:jrisks:v:6:y:2018:i:3:p:97-:d:169588 is not listed on IDEAS
- Galina Besstremyannaya & Sergei Golovan, 2019. "Reconsideration of a simple approach to quantile regression for panel data: a comment on the Canay (2011) fixed effects estimator," Working Papers w0249, New Economic School (NES).
More about this item
Keywordsquantile regression; bootstrap; fixed effects;
- B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
- C - Mathematical and Quantitative Methods
- C00 - Mathematical and Quantitative Methods - - General - - - General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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