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Quantile regression for static panel data models with time-invariant regressors

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  • Li Tao
  • Lingnan Tai
  • Maozai Tian

Abstract

This paper proposes two new weighted quantile regression estimators for static panel data model with time-invariant regressors. The two new estimators can improve the estimation of the coefficients with time-invariant regressors, which are computationally convenient and simple to implement. Also, the paper shows consistency and asymptotic normality of the two proposed estimator for sequential and simultaneous N, T asymptotics. Monte Carlo simulation in various parameters sets proves the validity of the proposed approach. It has an empirical application to study the effects of the influence factors of China’s exports using the trade gravity model.

Suggested Citation

  • Li Tao & Lingnan Tai & Maozai Tian, 2023. "Quantile regression for static panel data models with time-invariant regressors," PLOS ONE, Public Library of Science, vol. 18(8), pages 1-30, August.
    • Handle: RePEc:plo:pone00:0289474
    DOI: 10.1371/journal.pone.0289474
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    References listed on IDEAS

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