Unconditional Quantile Regression for Panel Data with Exogenous or Endogenous Regressors∗
نویسنده
چکیده
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, changes the interpretation of the estimates. This paper introduces a quantile estimator for panel data which use differences for identification but allows the parameters of interest to be interpreted in the same manner as crosssectional quantile estimates. Many existing quantile panel data estimators include a separate additive term for the fixed effect. This paper includes the fixed effect in a nonseparable disturbance term. The fixed effects are never estimated and the estimator is consistent for small T. An IV version is also introduced.
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