A quantile regression approach for estimating panel data models using instrumental variables

By Matthew Harding, Carlos Lamarche. 2009

178 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/d62f803a7758b46c8e597fa776df77af0d391ba0

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Citations in the corpus

Do remittances improve income inequality? An instrumental variable quantile analysis of the Kenyan case (2016, methodology): “To achieve this, we use the instrumental variable quantile approach suggested by Chernozhukov and Hansen (2005, 2008) and implemented for the analysis of inequality and wage dispersion by Harding and Lamarche (2009).”
Unconditional Quantile Regression for Panel Data with Exogenous or Endogenous Regressors (2010, unknown): “Similarly, Harding and Lamarche [2009] introduce an IV quantile panel data estimator under the assumption that yit = αi( it) + d ′ itβ( it).”
Estimating and Testing a Quantile Regression Model with Interactive Effects (2012, unknown): “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 λ i .”
Quantile regression with nonadditive fixed effects (2022, methodology): “A growing literature has developed quantile panel 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…”
DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS (2017, methodology): “Harding and Lamarche (2009; 2011) investigate the problem of estimating an endogenous panel (quantile) regression with interactive fixed effects and show how to use IVs in the CCE estimation framework. Moon, Shum and Weidner (2012) (hereafter MSW) estimate a random coefficient multinomial demand mod”
Set identification via quantile restrictions in short panels (2009, background): “The related paper by Harding and Lamarche (2008) shows how instrumental quantile regression can be employed in panel data models with endogenous regressors, demonstrating favorable performance in a Monte Carlo study and application.”