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Quantile regression with nonadditive fixed effects

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  • David Powell

    (RAND)

Abstract

This paper introduces a quantile regression estimator for panel data (QRPD) with nonadditive fixed effects, maintaining the nonseparable disturbance term commonly associated with quantile estimation. QRPD estimates the impact of exogenous or endogenous treatment variables on the outcome distribution using “within” variation in the instruments for identification purposes. Most quantile panel data estimators include additive fixed effects which separates the disturbance term and assumes the parameters vary based only on the time-varying components of the disturbance term. QRPD produces consistent estimates for small T. I estimate the effect of the 2008 tax rebates on the short-term household consumption distribution.

Suggested Citation

  • David Powell, 2022. "Quantile regression with nonadditive fixed effects," Empirical Economics, Springer, vol. 63(5), pages 2675-2691, November.
    • Handle: RePEc:spr:empeco:v:63:y:2022:i:5:d:10.1007_s00181-022-02216-6
    DOI: 10.1007/s00181-022-02216-6
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    More about this item

    Keywords

    Nonadditive fixed effects; Instrumental variables; Panel data; Quantile treatment effects; Nonseparable disturbance;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: 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
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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