English

Weighted asymmetric least squares regression with fixed-effects

Econometrics 2021-08-11 v1

Abstract

The fixed-effects model estimates the regressor effects on the mean of the response, which is inadequate to summarize the variable relationships in the presence of heteroscedasticity. In this paper, we adapt the asymmetric least squares (expectile) regression to the fixed-effects model and propose a new model: expectile regression with fixed-effects (\ERFE).(\ERFE). The \ERFE\ERFE model applies the within transformation strategy to concentrate out the incidental parameter and estimates the regressor effects on the expectiles of the response distribution. The \ERFE\ERFE model captures the data heteroscedasticity and eliminates any bias resulting from the correlation between the regressors and the omitted factors. We derive the asymptotic properties of the \ERFE\ERFE estimators and suggest robust estimators of its covariance matrix. Our simulations show that the \ERFE\ERFE estimator is unbiased and outperforms its competitors. Our real data analysis shows its ability to capture data heteroscedasticity (see our R package, \url{github.com/AmBarry/erfe}).

Keywords

Cite

@article{arxiv.2108.04737,
  title  = {Weighted asymmetric least squares regression with fixed-effects},
  author = {Amadou Barry and Karim Oualkacha and Arthur Charpentier},
  journal= {arXiv preprint arXiv:2108.04737},
  year   = {2021}
}
R2 v1 2026-06-24T04:59:37.875Z