Estimating Quantile Regressions with Multiple Fixed Effects through Method of Moments

Fernando Rios-Avila (), Leonardo Siles and Gustavo J. Canavire Bacarreza ()
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Fernando Rios-Avila: Levy Economics Institute
Leonardo Siles: Universidad de Chile
Gustavo J. Canavire Bacarreza: World Bank
Authors registered in the RePEc Author Service: Gustavo Javier Canavire-Bacarreza

No 17262, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: This paper proposes a new method to estimate quantile regressions with multiple fixed effects. The method, which expands on the strategy proposed by Machado and Santos Silva (2019), allows for the inclusion of multiple fixed effects and provides various alternatives for estimating standard errors. We provide Monte Carlo simulations to show the finite sample properties of the proposed method in the presence of two sets of fixed effects. Finally, we apply the proposed method to two different examples using macroeconomic and microeconomic data and allowing for multiple fixed effects with robust results.

Keywords: fixed effects; linear heteroskedasticity; location-scale model (search for similar items in EconPapers)
JEL-codes: C21 C22 C23 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2024-08
New Economics Papers: this item is included in nep-dcm and nep-ecm
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