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Quantile estimation of heterogenous panel quantile model with group structure

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  • Li, Donglin
  • Wang, Wenyue
  • Ren, Yanyan

Abstract

This paper introduces a heterogeneous panel quantile model whose coefficients have group structure. We propose a penalized minimum weighted absolute deviation estimator in order to estimate the coefficients and identify the group structure simultaneously at any quantiles.

Suggested Citation

  • Li, Donglin & Wang, Wenyue & Ren, Yanyan, 2024. "Quantile estimation of heterogenous panel quantile model with group structure," Economics Letters, Elsevier, vol. 241(C).
    • Handle: RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002829
    DOI: 10.1016/j.econlet.2024.111798
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    References listed on IDEAS

    as
    1. Liangjun Su & Zhentao Shi & Peter C. B. Phillips, 2016. "Identifying Latent Structures in Panel Data," Econometrica, Econometric Society, vol. 84, pages 2215-2264, November.
    2. Tomohiro Ando & Jushan Bai, 2016. "Panel Data Models with Grouped Factor Structure Under Unknown Group Membership," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 163-191, January.
    3. Baltagi, Badi H. & Feng, Qu & Kao, Chihwa, 2016. "Estimation of heterogeneous panels with structural breaks," Journal of Econometrics, Elsevier, vol. 191(1), pages 176-195.
    4. Ivan A. Canay, 2011. "A simple approach to quantile regression for panel data," Econometrics Journal, Royal Economic Society, vol. 14(3), pages 368-386, October.
    5. Bai, Jushan, 2010. "Common breaks in means and variances for panel data," Journal of Econometrics, Elsevier, vol. 157(1), pages 78-92, July.
    6. Wang, Wuyi & Su, Liangjun, 2021. "Identifying latent group structures in nonlinear panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 272-295.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Heterogenous panel data; Quantile regression; C-Lasso; Group structure;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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