Common correlated effects estimation of heterogeneous dynamic panel quantile regression models

Matthew Harding, Carlos Lamarche and Mohammad Pesaran

Journal of Applied Econometrics, 2020, vol. 35, issue 3, 294-314

Abstract: This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed in the literature and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under similar conditions to the ones used in the literature. The new quantile regression estimator is shown to be consistent and its asymptotic distribution is derived. Monte Carlo studies are carried out to study the small sample behavior of the proposed approach. The evidence shows that the estimator can significantly improve on the performance of existing estimators as long as the time series dimension of the panel is large. We present an application to the evaluation of Time‐of‐Use pricing using a large randomized control trial.

Date: 2020
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Citations: View citations in EconPapers (21)

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https://doi.org/10.1002/jae.2753

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Working Paper: Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models (2018)
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