The incidental parameter problem in a non-differentiable panel data model

Bryan Graham, Jinyong Hahn and James Powell

Economics Letters, 2009, vol. 105, issue 2, 181-182

Abstract: We consider a panel quantile model with fixed effects. It is shown that the maximum likelihood estimator is numerically equivalent to the least absolute deviations estimator of the differenced model, and as a consequence, there is no incidental parameter problem.

Keywords: Panel; Quantile; Incidental; parameter; problem (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:105:y:2009:i:2:p:181-182

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