We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Reconsideration of a simple approach to quantile regression for panel data.
- Authors
Besstremyannaya, Galina; Golovan, Sergei
- Abstract
This note discusses two errors in the approach proposed in Canay (2011) for constructing a computationally simple two-step estimator in a quantile regression model with quantile-independent fixed effects. Firstly, we show that Canay's assumption about n / T s → 0 for some s > 1 is not strong enough and can entail severe bias or even the non-existence of the limiting distribution for the estimator of the vector of coefficients. The condition n / T → 0 appears to be closer to the required set of restrictions. These problems are likely to cause incorrect inference in applied papers with large n / T , but the impact is less in applications with small n / T. In an attempt to improve Canay's estimator, we propose a simple correction that may reduce the bias. The second error concerns the incorrect asymptotic standard error of the estimator of the constant term. We show that, contrary to Canay's assumption, the within estimator has an influence function that is not i.i.d. and this affects inference. Moreover, the constant term is unlikely to be estimable at rate |$\sqrt{nT}$| , so a different estimator may not be available. However, the issue concerning the constant term does not have an effect on slope coefficients. Finally, we give recommendations to practitioners and conduct a meta-review of applied papers that use Canay's estimator.
- Subjects
QUANTILE regression; PANEL analysis; FIXED effects model; REGRESSION analysis
- Publication
Econometrics Journal, 2019, Vol 22, Issue 3, p292
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1093/ectj/utz012