On the unbiased asymptotic normality of quantile regression with fixed effects

DOI10.1016/J.JECONOM.2019.12.017zbMATH Open1456.62283arXiv1807.11863OpenAlexW3008132909MaRDI QIDQ2190248FDOQ2190248

Authors: Jiaying Gu, Stanislav Volgushev, Antonio F. Galvao 

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: Nonlinear panel data models with fixed individual effects provide an important set of tools for describing microeconometric data. In a large class of such models (including probit, proportional hazard and quantile regression to name just a few) it is impossible to difference out individual effects, and inference is usually justified in a `large n large T' asymptotic framework. However, there is a considerable gap in the type of assumptions that are currently imposed in models with smooth score functions (such as probit, and proportional hazard) and quantile regression. In the present paper we show that this gap can be bridged and establish asymptotic unbiased normality for quantile regression panels under conditions on n,T that are very close to what is typically assumed in standard nonlinear panels. Our results considerably improve upon existing theory and show that quantile regression is applicable to the same type of panel data (in terms of n,T) as other commonly used nonlinear panel data models. Thorough numerical experiments confirm our theoretical findings.

Full work available at URL: https://arxiv.org/abs/1807.11863

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zbMATH Keywords

asymptoticsfixed effectspanel dataquantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cited In (16)

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• Distributed Censored Quantile Regression
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• Wild bootstrap inference for penalized quantile regression for longitudinal data
• Multi-dimensional latent group structures with heterogeneous distributions
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