Unconditional Quantile Regression for Panel Data with Exogenous or Endogenous Regressors

28 Pages Posted: 10 Dec 2010

Date Written: November 28, 2010

Abstract

Unconditional quantile treatment effects are difficult to estimate in the presence of fixed effects. Panel data are frequently used because fixed effects or differences are necessary to identify the parameters of interest. The inclusion of fixed effects or differencing of data, however, redefines the quantiles. This paper introduces a quantile estimator for panel data which conditions on fixed effects for identification but allows the parameters of interest to be interpreted in the same manner as cross-sectional quantile estimates. The quantile treatment effects are unconditional in the fixed effect but identification originates from differences in the covariates or instruments. The fixed effects are never estimated and the estimator is consistent for small T.

Keywords: Quantiles, Panel Data, Fixed Effects, Instrumental Variables

JEL Classification: C13, C31, C33, C51

Suggested Citation

Powell, David, Unconditional Quantile Regression for Panel Data with Exogenous or Endogenous Regressors (November 28, 2010). Available at SSRN: https://ssrn.com/abstract=1722954 or http://dx.doi.org/10.2139/ssrn.1722954

David Powell (Contact Author)

RAND Corporation ( email )

1776 Main Street
P.O. Box 2138
Santa Monica, CA 90407-2138
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
562
Abstract Views
2,258
Rank
90,003
PlumX Metrics