IDEAS home Printed from https://ideas.repec.org/a/eee/econom/v170y2012i1p76-91.html
   My bibliography  Save this article

Asymptotics for panel quantile regression models with individual effects

Author

Listed:
  • Kato, Kengo
  • F. Galvao, Antonio
  • Montes-Rojas, Gabriel V.

Abstract

This paper studies panel quantile regression models with individual fixed effects. We formally establish sufficient conditions for consistency and asymptotic normality of the quantile regression estimator when the number of individuals, n, and the number of time periods, T, jointly go to infinity. The estimator is shown to be consistent under similar conditions to those found in the nonlinear panel data literature. Nevertheless, due to the non-smoothness of the objective function, we had to impose a more restrictive condition on T to prove asymptotic normality than that usually found in the literature. The finite sample performance of the estimator is evaluated by Monte Carlo simulations.

Suggested Citation

  • Kato, Kengo & F. Galvao, Antonio & Montes-Rojas, Gabriel V., 2012. "Asymptotics for panel quantile regression models with individual effects," Journal of Econometrics, Elsevier, vol. 170(1), pages 76-91.
    • Handle: RePEc:eee:econom:v:170:y:2012:i:1:p:76-91
    DOI: 10.1016/j.jeconom.2012.02.007
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304407612000760
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jeconom.2012.02.007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Guido W. Imbens & Whitney K. Newey, 2009. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," Econometrica, Econometric Society, vol. 77(5), pages 1481-1512, September.
    2. Haihong Li & Bruce G. Lindsay & Richard P. Waterman, 2003. "Efficiency of projected score methods in rectangular array asymptotics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 191-208, February.
    3. Ivan Fernandez-Val, 2005. "Bias Correction in Panel Data Models with Individual Specific Parameters," Boston University - Department of Economics - Working Papers Series WP2005-041, Boston University - Department of Economics.
    4. Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
    5. Abrevaya, Jason & Dahl, Christian M, 2008. "The Effects of Birth Inputs on Birthweight," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 379-397.
    6. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
    7. Graham, Bryan S. & Hahn, Jinyong & Powell, James L., 2009. "The incidental parameter problem in a non-differentiable panel data model," Economics Letters, Elsevier, vol. 105(2), pages 181-182, November.
    8. Lancaster, Tony, 2000. "The incidental parameter problem since 1948," Journal of Econometrics, Elsevier, vol. 95(2), pages 391-413, April.
    9. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    10. Jinyong Hahn & Whitney Newey, 2004. "Jackknife and Analytical Bias Reduction for Nonlinear Panel Models," Econometrica, Econometric Society, vol. 72(4), pages 1295-1319, July.
    11. Koenker, Roger, 1984. "A note on L-estimates for linear models," Statistics & Probability Letters, Elsevier, vol. 2(6), pages 323-325, December.
    12. V. Chernozhukov & Ivan Fernandez-Val, "undated". "Quantile and Average Effects in Nonseparable Panel Models," Boston University - Department of Economics - Working Papers Series wp2009-011, Boston University - Department of Economics.
    13. Joshua Angrist & Victor Chernozhukov & Iván Fernández-Val, 2006. "Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure," Econometrica, Econometric Society, vol. 74(2), pages 539-563, March.
    14. Rosen, Adam M., 2012. "Set identification via quantile restrictions in short panels," Journal of Econometrics, Elsevier, vol. 166(1), pages 127-137.
    15. He, Xuming & Shao, Qi-Man, 2000. "On Parameters of Increasing Dimensions," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 120-135, April.
    16. Miguel Arcones, 1998. "Second Order Representations of the Least Absolute Deviation Regression Estimator," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(1), pages 87-117, March.
    17. Lamarche, Carlos, 2010. "Robust penalized quantile regression estimation for panel data," Journal of Econometrics, Elsevier, vol. 157(2), pages 396-408, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Galvao, Antonio F. & Kato, Kengo, 2016. "Smoothed quantile regression for panel data," Journal of Econometrics, Elsevier, vol. 193(1), pages 92-112.
    2. Graham, Bryan S. & Hahn, Jinyong & Poirier, Alexandre & Powell, James L., 2018. "A quantile correlated random coefficients panel data model," Journal of Econometrics, Elsevier, vol. 206(2), pages 305-335.
    3. Denis Chetverikov & Bradley Larsen & Christopher Palmer, 2016. "IV Quantile Regression for Group‐Level Treatments, With an Application to the Distributional Effects of Trade," Econometrica, Econometric Society, vol. 84, pages 809-833, March.
    4. Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021. "Quantile Factor Models," Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
    5. Rosen, Adam M., 2012. "Set identification via quantile restrictions in short panels," Journal of Econometrics, Elsevier, vol. 166(1), pages 127-137.
    6. repec:ran:wpaper:710-1 is not listed on IDEAS
    7. David Powell, 2022. "Quantile regression with nonadditive fixed effects," Empirical Economics, Springer, vol. 63(5), pages 2675-2691, November.
    8. Galvao, Antonio F. & Wang, Liang, 2015. "Efficient minimum distance estimator for quantile regression fixed effects panel data," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 1-26.
    9. Harding, Matthew & Lamarche, Carlos, 2019. "A panel quantile approach to attrition bias in Big Data: Evidence from a randomized experiment," Journal of Econometrics, Elsevier, vol. 211(1), pages 61-82.
    10. Battagliola, Maria Laura & Sørensen, Helle & Tolver, Anders & Staicu, Ana-Maria, 2022. "A bias-adjusted estimator in quantile regression for clustered data," Econometrics and Statistics, Elsevier, vol. 23(C), pages 165-186.
    11. Chernozhukov, Victor & Fernández-Val, Iván & Weidner, Martin, 2024. "Network and panel quantile effects via distribution regression," Journal of Econometrics, Elsevier, vol. 240(2).
    12. Harding, Matthew & Lamarche, Carlos, 2014. "Estimating and testing a quantile regression model with interactive effects," Journal of Econometrics, Elsevier, vol. 178(P1), pages 101-113.
    13. Bryan S. Graham & Jinyong Hahn & Alexandre Poirier & James L. Powell, 2015. "Quantile regression with panel data," CeMMAP working papers CWP12/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    14. Manuel Arellano & Stéphane Bonhomme, 2016. "Nonlinear panel data estimation via quantile regressions," Econometrics Journal, Royal Economic Society, vol. 19(3), pages 61-94, October.
    15. Sherrilyn Billger & Carlos Lamarche, 2015. "A panel data quantile regression analysis of the immigrant earnings distribution in the United Kingdom and United States," Empirical Economics, Springer, vol. 49(2), pages 705-750, September.
    16. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
    17. Jorge Eduardo Camusso & Ana Inés Navarro, 2021. "Asymmetries in aggregate income risk over the business cycle: evidence from administrative data of Argentina," Asociación Argentina de Economía Política: Working Papers 4447, Asociación Argentina de Economía Política.
    18. Maria Marino & Alessio Farcomeni, 2015. "Linear quantile regression models for longitudinal experiments: an overview," METRON, Springer;Sapienza Università di Roma, vol. 73(2), pages 229-247, August.
    19. Liang Chen & Yulong Huo, 2019. "A Simple Estimator for Quantile Panel Data Models Using Smoothed Quantile Regressions," Papers 1911.04729, arXiv.org.
    20. Machado, José A.F. & Santos Silva, J.M.C., 2019. "Quantiles via moments," Journal of Econometrics, Elsevier, vol. 213(1), pages 145-173.
    21. Galvao, Antonio F. & Gu, Jiaying & Volgushev, Stanislav, 2020. "On the unbiased asymptotic normality of quantile regression with fixed effects," Journal of Econometrics, Elsevier, vol. 218(1), pages 178-215.

    More about this item

    Keywords

    Asymptotics; Fixed effects; Panel data; Quantile regression;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:170:y:2012:i:1:p:76-91. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.