Quantile regression with nonadditive fixed effects

David Powell

Empirical Economics, 2022, vol. 63, issue 5, No 13, 2675-2691

Abstract: Abstract This paper introduces a quantile regression estimator for panel data (QRPD) with nonadditive fixed effects, maintaining the nonseparable disturbance term commonly associated with quantile estimation. QRPD estimates the impact of exogenous or endogenous treatment variables on the outcome distribution using “within” variation in the instruments for identification purposes. Most quantile panel data estimators include additive fixed effects which separates the disturbance term and assumes the parameters vary based only on the time-varying components of the disturbance term. QRPD produces consistent estimates for small T. I estimate the effect of the 2008 tax rebates on the short-term household consumption distribution.

Keywords: Nonadditive fixed effects; Instrumental variables; Panel data; Quantile treatment effects; Nonseparable disturbance (search for similar items in EconPapers)
JEL-codes: C13 C31 C33 C51 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (57)

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DOI: 10.1007/s00181-022-02216-6

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