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A Hausman–Taylor instrumental variable approach to the penalized estimation of quantile panel models

Matthew Harding () and Carlos Lamarche

Economics Letters, 2014, vol. 124, issue 2, 176-179

Abstract: This paper proposes an ℓ1 penalized quantile regression estimator which adapts the Hausman–Taylor instrumental variable approach in order to address the bias resulting from the shrinkage of the individual effects.

Keywords: Shrinkage; Panel quantiles; Instrumental variables (search for similar items in EconPapers)
JEL-codes: C31 C33 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.econlet.2014.05.009

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