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This paper studies estimation and inference in a quantile regression dynamic panel model with fixed effects. Panel data fixed effects estimators are typically biased in the presence of lagged dependent variables as regressors. To reduce the dynamic bias in the quantile regression fixed effects estimator I suggest the use of the instrumental variables… (More)

We use Monte Carlo simulations and real data to assess the performance of methods dealing with measurement error in investment equations. Our experiments show that fixed effects, error heteroscedasticity, and data skewness severely affect the performance and reliability of methods found in the literature. Estimators that use higher-order moments return… (More)

This paper develops a uniform test of linearity against thresholds effects in the quantile regression framework. The test is based on the supremum of the Wald process over the space of quantile and threshold parameters. We establish the asymptotic null distribution of the test statistic for stationary weakly dependent processes, and propose a simulation… (More)

- Antonio F. Galvao, Liang Wang
- J. Multivariate Analysis
- 2015

This article attempts to explain the seeming paradox of a country with a high tax burden and a continually concentrated distribution of income. Using a nonparametric density estimation, it is shown that Brazil does not conform to the characteristics of most countries in terms of income tax and government expenditure patterns. By means of a structural… (More)

- Antonio F. Galvao, Liang Wang, +8 authors Ting Zhang
- 2013

This paper studies identification, estimation and inference of general unconditional treatment effects models with continuous treatment under the ignorability assumption. We show identification of the parameters of interest, the dose-response functions, under the assumption that selection to treatment is based on observables. We propose a semiparametric… (More)

This paper develops an instrumental variables estimator for quantile regression in panel data with fixed effects. Asymptotic properties of the instrumental variables estimator are studied for large N and T when Na/T → 0, for some a > 0. Wald and Kolmogorov-Smirnov type tests for general linear restrictions are developed. The estimator is applied to the… (More)

This paper studies fixed effects estimation of quantile regression (QR) models with panel data. Previous studies show that there are two important difficulties with the standard QR estimation. First, the estimator can be biased because of the well-known incidental parameters problem. Secondly, the non-smoothness of the objective function significantly… (More)

- Kengo Kato, Antonio F. Galvao, +4 authors Ryo Okui
- 2010

This paper studies panel quantile regression models with 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… (More)

We study in this article threshold quantile autoregressive processes. In particular we propose estimation and inference of the parameters in nonlinear quantile processes when the threshold parameter defining nonlinearities is known for each quantile, and also when the parameter vector is estimated consistently. We derive the asymptotic properties of the… (More)