Penalized quantile regression for dynamic panel data

DOI10.1016/j.jspi.2010.05.008zbMath1205.62195MaRDI QIDQ989274

Gabriel V. Montes-Rojas, Antonio F. jun. Galvao

Publication date: 19 August 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.05.008

zbMATH Keywords

quantile regression; fixed effects; panel data; shrinkage; penalized regression; dynamic panel

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

62F15: Bayesian inference

65C05: Monte Carlo methods

Related Items

Linear quantile mixed models, Linear quantile regression models for longitudinal experiments: an overview, Bayesian endogeneity bias modeling, Bayesian analysis of quantile regression for censored dynamic panel data

Uses Software

• PDCO

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Initial conditions and moment restrictions in dynamic panel data models
• Efficient estimation of models for dynamic panel data
• Another look at the instrumental variable estimation of error-components models
• Instrumental variable quantile regression: a robust inference approach
• Instrumental quantile regression inference for structural and treatment effect models
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• GACV for quantile smoothing splines
• Estimation of the mean of a multivariate normal distribution
• Formulation and estimation of dynamic models using panel data
• That BLUP is a good thing: The estimation of random effects. With comments and a rejoinder by the author
• How informative is the initial condition in the dynamic panel model with fixed effects?
• On the degrees of freedom in shape-restricted regression.
• Quantile regression for longitudinal data
• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS
• A Nonparametric Regression Approach to Syringe Grading for Quality Improvement
• Unified LASSO Estimation by Least Squares Approximation
• Biases in Dynamic Models with Fixed Effects
• Estimation of Dynamic Models with Error Components
• Regression Quantiles
• Atomic Decomposition by Basis Pursuit
• Quantile smoothing splines
• Panel Data Econometrics
• Tuning parameter selectors for the smoothly clipped absolute deviation method
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Consistent Estimates Based on Partially Consistent Observations