Unconditional Quantile Regression for Panel Data with Exogenous or Endogenous Regressors
Unconditional quantile treatment effects are difficult to estimate in the presence of fixed effects. Panel data are frequently used because fixed effects or differences are necessary to identify the parameters of interest. The inclusion of fixed effects or differencing of data, however, redefines the quantiles. This paper introduces a quantile estimator for panel data which conditions on fixed effects for identification but allows the parameters of interest to be interpreted in the same manner as cross-sectional quantile estimates. The quantile treatment effects are unconditional in the fixed effect but identification originates from differences in the covariates or instruments. The fixed effects are never estimated and the estimator is consistent for small T.
|Date of creation:||Nov 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.rand.org/pubs/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- Victor Chernozhukov & Ivan Fernandez-Val & Whitney Newey, 2009.
"Quantile and average effects in nonseparable panel models,"
CeMMAP working papers
CWP29/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- V. Chernozhukov & Ivan Fernandez-Val, . "Quantile and Average Effects in Nonseparable Panel Models," Boston University - Department of Economics - Working Papers Series wp2009-011, Boston University - Department of Economics.
- Frölich, Markus & Melly, Blaise, 2008.
"Unconditional Quantile Treatment Effects under Endogeneity,"
IZA Discussion Papers
3288, Institute for the Study of Labor (IZA).
- Markus FrÃ¶lich & Blaise Melly, 2013. "Unconditional Quantile Treatment Effects Under Endogeneity," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 346-357, July.
- Markus Frölich & Blaise Melly, 2007. "Unconditional quantile treatment effects under endogeneity," CeMMAP working papers CWP32/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Bryan S. Graham & James Powell, 2008. "Identification and Estimation of 'Irregular' Correlated Random Coefficient Models," NBER Working Papers 14469, National Bureau of Economic Research, Inc.
- Adam Rosen, 2009.
"Set identification via quantile restrictions in short panels,"
CeMMAP working papers
CWP26/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Rosen, Adam M., 2012. "Set identification via quantile restrictions in short panels," Journal of Econometrics, Elsevier, vol. 166(1), pages 127-137.
- Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
- Sergio Firpo & Nicole M. Fortin & Thomas Lemieux, 2007.
"Unconditional Quantile Regressions,"
NBER Technical Working Papers
0339, National Bureau of Economic Research, Inc.
- Sergio Firpo, 2007.
"Efficient Semiparametric Estimation of Quantile Treatment Effects,"
Econometric Society, vol. 75(1), pages 259-276, 01.
- Sergio Firpo, 2004. "Efficient Semiparametric Estimation of Quantile Treatment Effects," Econometric Society 2004 North American Summer Meetings 605, Econometric Society.
- Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, vol. 142(1), pages 379-398, January.
- Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
- Abrevaya, Jason & Dahl, Christian M, 2008. "The Effects of Birth Inputs on Birthweight," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 379-397.
- 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.
- Graham, Bryan S. & Hahn, Jinyong & Powell, James L., 2009. "The incidental parameter problem in a non-differentiable panel data model," Economics Letters, Elsevier, vol. 105(2), pages 181-182, November.
When requesting a correction, please mention this item's handle: RePEc:ran:wpaper:710-1. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benson Wong)
If references are entirely missing, you can add them using this form.