Instrumental Variable Quantile Regressions in Large Panels with Fixed Effects

@inproceedings{Arellano2015InstrumentalVQ,
  title={Instrumental Variable Quantile Regressions in Large Panels with Fixed Effects},
  author={Manuel Aguilar Arellano and Martin Weidner},
  year={2015}
}
This paper studies panel quantile regression models with endogeneity and additive fixed effects. We focus on static panel model where regressors and instruments are not predetermined. The fixed effect approach causes an incidental parameter bias in the estimates of the parameters of interest, and we characterize this bias under an asymptotic where both panel dimensions become large. We encounter a bias-variance tradeoff when attempting to correct this bias, and we provide bias corrected… CONTINUE READING

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