Related papers: On the Unbiased Asymptotic Normality of Quantile R…
This paper considers panel data models where the conditional quantiles of the dependent variables are additively separable as unknown functions of the regressors and the individual effects. We propose two estimators of the quantile partial…
Nonseparable panel models are important in a variety of economic settings, including discrete choice. This paper gives identification and estimation results for nonseparable models under time homogeneity conditions that are like "time is…
We derive fixed effects estimators of parameters and average partial effects in (possibly dynamic) nonlinear panel data models with individual and time effects. They cover logit, probit, ordered probit, Poisson and Tobit models that are…
This paper develops an asymptotic and inferential theory for fixed-effects panel quantile regression (FEQR) that delivers inference robust to pervasive common shocks. Such shocks induce cross-sectional dependence that is central in many…
This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete…
Fixed effect estimators of nonlinear panel data models suffer from the incidental parameter problem. This leads to two undesirable consequences in applied research: (1) point estimates are subject to large biases, and (2) confidence…
This paper develops bootstrap methods for practical statistical inference in panel data quantile regression models with fixed effects. We consider random-weighted bootstrap resampling and formally establish its validity for asymptotic…
This paper introduces unit-specific heterogeneity in panel data threshold regression. We develop the asymptotic theory for models with heterogeneous thresholds, heterogeneous slope coefficients, and interactive fixed effects. The estimation…
Quantile regression is a powerful tool for detecting exposure-outcome associations given covariates across different parts of the outcome's distribution, but has two major limitations when the aim is to infer the effect of an exposure.…
This paper considers estimating functional-coefficient models in panel quantile regression with individual effects, allowing the cross-sectional and temporal dependence for large panel observations. A latent group structure is imposed on…
This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where…
We provide new results for nonparametric identification, estimation, and inference of causal effects using `proxy controls': observables that are noisy but informative proxies for unobserved confounding factors. Our analysis applies to…
We consider identification, inference and validation of linear panel data models when both factors and factor loadings are accounted for by a nonparametric function. This general specification encompasses rather popular models such as the…
This paper considers the quantile regression model with both individual fixed effect and time period effect for general spatial panel data. Instrumental variable quantile regression estimators will be proposed. Asymptotic properties of the…
Many panel data have the latent subgroup effect on individuals, and it is important to correctly identify these groups since the efficiency of resulting estimators can be improved significantly by pooling the information of individuals…
This paper studies large $N$ and large $T$ conditional quantile panel data models with interactive fixed effects. We propose a nuclear norm penalized estimator of the coefficients on the covariates and the low-rank matrix formed by the…
This paper studies the estimation of linear panel data models with interactive fixed effects, where one dimension of the panel, typically time, may be fixed. To this end, a novel transformation is introduced that reduces the model to a…
This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest -- means, variances, and other moments of the random…
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized…
This paper studies the problem of efficient estimation of panel data models in the presence of an increasing number of incidental parameters. We formulate the dynamic panel as a simultaneous equations system, and derive the efficiency bound…