Quantile estimation of heterogenous panel quantile model with group structure

Donglin Li, Wenyue Wang and Yanyan Ren

Economics Letters, 2024, vol. 241, issue C

Abstract: This paper introduces a heterogeneous panel quantile model whose coefficients have group structure. We propose a penalized minimum weighted absolute deviation estimator in order to estimate the coefficients and identify the group structure simultaneously at any quantiles.

Keywords: Heterogenous panel data; Quantile regression; C-Lasso; Group structure (search for similar items in EconPapers)
JEL-codes: C13 C15 C18 C31 C51 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002829

DOI: 10.1016/j.econlet.2024.111798

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