This paper provides within-group estimators for fixed effects quantile models. We apply the quantile coupling transformation to well approximate fixed effects quantile models by fixed effects Gaussian models. Our estimators enjoy three advantages: (1) fixed effects are eliminated by within-group estimators, so that ours is computationally fast without involving the increasing Hessian matrix wit...

Parametric copulae are shown to be an attractive device for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific models offers some salient advantages over classical global parametric approaches. Consistency and asymptotic normality of the proposed estimators are established, leading to a general framework for inference and model specificat...