Regularized Quantile Regression with Interactive Fixed Effects
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Hyungsik Roger Moon & Martin Weidner, 2015.
"Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects,"
Econometrica, Econometric Society, vol. 83(4), pages 1543-1579, July.
- Hyungsik Roger Moon & Martin Weidner, 2013. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP49/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Martin Weidner, 2014. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP35/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- 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.
- 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.
- Hyungsik Roger Moon & Martin Weidner, 2018.
"Nuclear Norm Regularized Estimation of Panel Regression Models,"
Papers
1810.10987, arXiv.org, revised Jun 2023.
- Hyungsik Roger Moon & Martin Weidner, 2019. "Nuclear norm regularized estimation of panel regression models," CeMMAP working papers CWP14/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Christian Hansen & Yuan Liao & Yinchu Zhu, 2019. "Inference for heterogeneous effects using low-rank estimations," CeMMAP working papers CWP31/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- 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.
- Harding, Matthew & Lamarche, Carlos, 2012. "Estimating and Testing a Quantile Regression Model with Interactive Effects," IZA Discussion Papers 6802, Institute of Labor Economics (IZA).
- M. Hashem Pesaran, 2006.
"Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure,"
Econometrica, Econometric Society, vol. 74(4), pages 967-1012, July.
- M. Hashem Pesaran, 2004. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series 1331, CESifo.
- 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.
- Antonio F. Galvao & Carlos Lamarche & Luiz Renato Lima, 2013. "Estimation of Censored Quantile Regression for Panel Data With Fixed Effects," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(503), pages 1075-1089, September.
- Jushan Bai, 2009. "Panel Data Models With Interactive Fixed Effects," Econometrica, Econometric Society, vol. 77(4), pages 1229-1279, July.
- Lamarche, Carlos, 2010. "Robust penalized quantile regression estimation for panel data," Journal of Econometrics, Elsevier, vol. 157(2), pages 396-408, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Belloni, Alexandre & Chen, Mingli & Madrid Padilla, Oscar Hernan & Wang, Zixuan (Kevin), 2019.
"High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing,"
The Warwick Economics Research Paper Series (TWERPS)
1230, University of Warwick, Department of Economics.
- Alexandre Belloni & Mingli Chen & Oscar Hernan Madrid Padilla & Zixuan & Wang, 2019. "High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing," Papers 1912.02151, arXiv.org, revised Aug 2022.
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.- Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021.
"Quantile Factor Models,"
Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
- Chen, Liang, 2017. "Quantile Factor Models," UC3M Working papers. Economics 25299, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2020. "Quantile Factor Models," IZA Discussion Papers 13870, Institute of Labor Economics (IZA).
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus, 2018. "Quantile Factor Models," CEPR Discussion Papers 12716, C.E.P.R. Discussion Papers.
- Liang Chen & Yulong Huo, 2019. "A Simple Estimator for Quantile Panel Data Models Using Smoothed Quantile Regressions," Papers 1911.04729, arXiv.org.
- Ruofan Xu & Jiti Gao & Tatsushi Oka & Yoon-Jae Whang, 2022. "Quantile Random-Coefficient Regression with Interactive Fixed Effects: Heterogeneous Group-Level Policy Evaluation," Papers 2208.03632, arXiv.org, revised Nov 2024.
- Belloni, Alexandre & Chen, Mingli & Madrid Padilla, Oscar Hernan & Wang, Zixuan (Kevin), 2019.
"High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing,"
The Warwick Economics Research Paper Series (TWERPS)
1230, University of Warwick, Department of Economics.
- Alexandre Belloni & Mingli Chen & Oscar Hernan Madrid Padilla & Zixuan & Wang, 2019. "High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing," Papers 1912.02151, arXiv.org, revised Aug 2022.
- Ruofan Xu & Jiti Gao & Tatsushi Oka & Yoon-Jae Whang, 2022. "Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 13/22, Monash University, Department of Econometrics and Business Statistics.
- Andres Sagner, 2020. "High Dimensional Quantile Factor Analysis," Working Papers Central Bank of Chile 886, Central Bank of Chile.
- 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.
- Matthew Harding & Carlos Lamarche, 2018. "A Panel Quantile Approach to Attrition Bias in Big Data: Evidence from a Randomized Experiment," Papers 1808.03364, arXiv.org.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2022. "Cross-Sectional Error Dependence in Panel Quantile Regressions," Working Papers w202213, Banco de Portugal, Economics and Research Department.
- 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.
- Antonio F. Galvao & Jiaying Gu & Stanislav Volgushev, 2018. "On the Unbiased Asymptotic Normality of Quantile Regression with Fixed Effects," Papers 1807.11863, arXiv.org, revised Feb 2020.
- 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.
- Callaway, Brantly & Li, Tong & Oka, Tatsushi, 2018. "Quantile treatment effects in difference in differences models under dependence restrictions and with only two time periods," Journal of Econometrics, Elsevier, vol. 206(2), pages 395-413.
- Antonio F. Galvao & Thomas Parker & Zhijie Xiao, 2024.
"Bootstrap Inference for Panel Data Quantile Regression,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 628-639, April.
- Antonio F. Galvao & Thomas Parker & Zhijie Xiao, 2021. "Bootstrap inference for panel data quantile regression," Papers 2111.03626, arXiv.org.
- Frantisek Cech & Jozef Barunik, 2017.
"Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns,"
Working Papers IES
2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
- Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Papers 1708.08622, arXiv.org.
- Linton, O. B. & Rücker, M. & Vogt, M. & Walsh, C., 2024. "Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects," Janeway Institute Working Papers 2429, Faculty of Economics, University of Cambridge.
- Zongwu Cai & Meng Shi & Yue Zhao & Wuqing Wu, 2020. "Testing Financial Hierarchy Based on A PDQ-CRE Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202011, University of Kansas, Department of Economics, revised Jul 2020.
- Chen, Mingli & Fernández-Val, Iván & Weidner, Martin, 2021.
"Nonlinear factor models for network and panel data,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 296-324.
- Mingli Chen & Iv'an Fern'andez-Val & Martin Weidner, 2014. "Nonlinear Factor Models for Network and Panel Data," Papers 1412.5647, arXiv.org, revised Oct 2019.
- Mingli Chen & Ivan Fernandez-Val & Martin Weidner, 2019. "Nonlinear factor models for network and panel data," CeMMAP working papers CWP18/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Mingli Chen & Ivan Fernandez-Val & Martin Weidner, 2018. "Nonlinear factor models for network and panel data," CeMMAP working papers CWP38/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- 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.
- Denis Chetverikov & Bradley Larsen & Christopher Palmer, 2015. "IV Quantile Regression for Group-level Treatments, with an Application to the Distributional Effects of Trade," NBER Working Papers 21033, National Bureau of Economic Research, Inc.
- Ye, Xiaoqing & Xu, Juan & Wu, Xiangjun, 2018. "Estimation of an unbalanced panel data Tobit model with interactive effects," Journal of choice modelling, Elsevier, vol. 28(C), pages 108-123.
- 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.
- Manuel Arellano & Stéphane Bonhomme, 2016.
"Nonlinear panel data estimation via quantile regressions,"
Econometrics Journal, Royal Economic Society, vol. 19(3), pages 61-94, October.
- Manuel Arellano & Stéphane Bonhomme, 2015. "Nonlinear panel data estimation via quantile regressions," CeMMAP working papers 40/15, Institute for Fiscal Studies.
- Manuel Arellano & Stéphane Bonhomme, 2015. "Nonlinear Panel Data Estimation via Quantile Regression," Working Papers wp2015_1505, CEMFI.
- Manuel Arellano & Stéphane Bonhomme, 2015. "Nonlinear panel data estimation via quantile regressions," CeMMAP working papers CWP40/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-11-11 (Econometrics)
Statistics
Access and download statisticsCorrections
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:arx:papers:1911.00166. 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: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.