Quantile regression for dynamic panel data with fixed effects

@inproceedings{Galvao2011QuantileRF,
  title={Quantile regression for dynamic panel data with fixed effects},
  author={Antonio F. Galvao},
  year={2011}
}
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 quantile regression method of Chernozhukov and Hansen (2006, 2008) along with lagged regressors as instruments. I show that the instrumental… CONTINUE READING
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