Quantile regression for dynamic panel data with fixed effects

By Antonio F. Galvao. 2011

439 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6a1e0140a950c198e9e7d6b308277d81723c6cdf

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In Economics and Econometrics

Citations in the corpus

Set identification via quantile restrictions in short panels (2009, background): “Galvao (2008) considers a dynamic panel data model where the fixed effect is a pure location shift, but where lagged dependent variables in the conditional quantile specification cause bias.”
Linear quantile mixed models (2013, background): “The former includes fixed effects (Koenker 2004; Lamarche 2010; Galvao and Montes-Rojas 2010; Galvao 2011) and weighted (Lipsitz et al. 1997; Karlsson 2008; Fu and Wang 2012) approaches.”
Quantile regression with nonadditive fixed effects (2022, neutral): “…data estimators with additive fixed effects, including Koenker (2004), Harding and Lamarche (2009), Lamarche (2010), Canay (2011), Besstremyannaya and Golovan (2019), Galvao (2011), Ponomareva (2011), Kato et al. (2012), Rosen (2012), Galvao and Wang (2015), and Machado and Santos Silva (2019).”
A Simple Approach to Quantile Regression for Panel Data (2011, background): “1) and the standard quantile regression model introduced by Koenker and Bassett (1978) lies in the presence of the unobserved αi.”
Banking risk and regulation: Does one size fit all? (2012, methodology): “We estimate the quantile regressions using the methodology proposed by Chernozhukov and Hansen (2006, 2008) and Galvao (2009) by including also the lagged regressors as instruments to reduce the bias associated with dynamic quantile regressions.”
Are high-growth firms one-hit wonders? Evidence from Sweden (2015, methodology): “Future studies could, therefore, benefit from incorporating the methods outlined in Canay (2011) and Galvao (2011).”
Estimating and Testing a Quantile Regression Model with Interactive Effects (2012, methodology): “Our method differs from Harding and Lamarche (2009) and Galvao (2011) because it does not consider the case of unobserved heterogeneity represented by a classical individual effect λi.”
Nonlinear Panel Data Estimation via Quantile Regressions (2015, background): “Applying the law of iterated expectations to (29) and (30), respectively, we obtain the following integrated moment restrictions, for all τ ∈ (0, 1):”