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Journal ArticleDOI

A simple approach to quantile regression for panel data

Ivan A. Canay
- 01 Oct 2011 - 
- Vol. 14, Iss: 3, pp 368-386
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TLDR
In this article, the authors provide sufficient conditions that point identify a quantile regression model with fixed effects and propose a simple transformation of the data that gets rid of the fixed effects under the assumption that these effects are location shifters.
Abstract
Summary This paper provides a set of sufficient conditions that point identify a quantile regression model with fixed effects. It also proposes a simple transformation of the data that gets rid of the fixed effects under the assumption that these effects are location shifters. The new estimator is consistent and asymptotically normal as both n and T grow.

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Citations
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Quantiles via Moments

TL;DR: The methods proposed are not meant to replace the well-established quantile regression estimator, but provide an additional tool that can allow the estimation of regression quantiles in settings where otherwise that would be difficult or even impossible.
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Oil prices, US stock return, and the dependence between their quantiles

TL;DR: In this article, the authors examined the relationship between oil prices and US equities by proposing a novel quantile-on-quantile (QQQ) approach to construct estimates of the effect that the quantiles of oil price shocks have on the quantile of the US stock return.
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The effects of FDI, economic growth and energy consumption on carbon emissions in ASEAN-5: Evidence from panel quantile regression

TL;DR: In this paper, the authors investigated the impact of foreign direct investment, economic growth and energy consumption on carbon emissions in five selected member countries in the Association of South East Asian Nations (ASEAN-5), including Indonesia, Malaysia, the Philippines, Singapore and Thailand.
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Innovation and firm growth: Does firm age play a role?

TL;DR: In this paper, the authors explored the relationship between innovation and firm growth for firms of different ages and found that young firms undertake riskier innovation activities which may have greater performance benefits (if successful), or greater losses (if unsuccessful).
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Energy consumption and economic growth: New evidence from the OECD countries

TL;DR: In this article, the authors introduced a growth model that considers the indicator of economic complexity as a measure of capabilities for exporting the high value-added (sophisticated) products.
References
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Book

Weak Convergence and Empirical Processes: With Applications to Statistics

TL;DR: In this article, the authors define the Ball Sigma-Field and Measurability of Suprema and show that it is possible to achieve convergence almost surely and in probability.
BookDOI

Weak Convergence and Empirical Processes

TL;DR: This chapter discusses Convergence: Weak, Almost Uniform, and in Probability, which focuses on the part of Convergence of the Donsker Property which is concerned with Uniformity and Metrization.
MonographDOI

Quantile Regression: Name Index

Roger Koenker
Journal ArticleDOI

Quantile regression for longitudinal data

TL;DR: In this paper, a general approach to estimating quantile regression models for longitudinal data is proposed employing l 1 regularization methods, based on the penalized least squares interpretation of the classical random effects estimator.