Journal
JOURNAL OF ECONOMETRICS
Volume 170, Issue 1, Pages 76-91Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2012.02.007
Keywords
Asymptotics; Fixed effects; Panel data; Quantile regression
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Funding
- JSPS [22730179]
- Grants-in-Aid for Scientific Research [22730179] Funding Source: KAKEN
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This paper studies panel quantile regression models with individual fixed effects. We formally establish sufficient conditions for consistency and asymptotic normality of the quantile regression estimator when the number of individuals, n, and the number of time periods, T, jointly go to infinity. The estimator is shown to be consistent under similar conditions to those found in the nonlinear panel data literature. Nevertheless, due to the non-smoothness of the objective function, we had to impose a more restrictive condition on T to prove asymptotic normality than that usually found in the literature. The finite sample performance of the estimator is evaluated by Monte Carlo simulations. (c) 2012 Elsevier B.V. All rights reserved.
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