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Reconsideration of a simple approach to quantile regression for panel data

Galina Besstremyannaya and Sergei Golovan ()
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Sergei Golovan: New Economic School

No w0248, Working Papers from New Economic School (NES)

Abstract: The note discusses a fallacy in the approach proposed by Ivan Canay (2011, The Econometrics Journal) for constructing a computationally simple two-step estimator in a quantile regression model with quantile-independent fixed effects. We formally prove that the estimator gives an incorrect inference for the constant term due to violation of the assumption about additive expansion of the first-step estimator, which requires the independence of its terms. Our simulations show that Canay's confidence intervals for the constant term are wrong. Finally, we focus on the fact that finding a sqrt(nT) consistent within estimator, as required by Canay's procedure, may be problematic. We provide an example of a model, for which we formally prove the non-existence of such an estimator.

Keywords: quantile regression; panel data; fixed effects; inference (search for similar items in EconPapers)
JEL-codes: C21 C23 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2018-11
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https://www.nes.ru/files/Preprints-resh/WP248.pdf (application/pdf)

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Journal Article: Reconsideration of a simple approach to quantile regression for panel data (2019) Downloads
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