Nonparametric Quantile Regressions for Panel Data Models with Large T

Liang Chen

Papers from arXiv.org

Abstract: This paper considers panel data models where the conditional quantiles of the dependent variables are additively separable as unknown functions of the regressors and the individual effects. We propose two estimators of the quantile partial effects while controlling for the individual heterogeneity. The first estimator is based on local linear quantile regressions, and the second is based on local linear smoothed quantile regressions, both of which are easy to compute in practice. Within the large T framework, we provide sufficient conditions under which the two estimators are shown to be asymptotically normally distributed. In particular, for the first estimator, it is shown that $N

Date: 2019-11, Revised 2020-09
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1911.01824

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