Identification in Linear Quantile Panel Models

Shakeeb Khan and Elie Tamer

Papers from arXiv.org

Abstract: This paper studies identification in linear quantile panel models with unrestricted individual heterogeneity when the number of time periods is fixed and small. We impose strict exogeneity, whereby the conditional quantile restriction holds given the individual's complete regressor history and latent individual effect, but otherwise allow the disturbances to be arbitrarily dependent over time.

Date: 2026-09
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