Department of Economics
University of Iowa
W210 John Pappajohn Business Building
Iowa City, IA 52242
NBER Working Papers and Publications
|March 2015||Quantile Regression with Panel Data|
with Bryan S. Graham, Jinyong Hahn, James L. Powell: w21034
We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel data. Specifically, we extend the correlated random coefficients representation of linear quantile regression (e.g., Koenker, 2005; Section 2.6). We show that panel data allows the econometrician to (i) introduce dependence between the regressors and the random coefficients and (ii) weaken the assumption of comonotonicity across them (i.e., to enrich the structure of allowable dependence between different coefficients). We adopt a “fixed effects” approach, leaving any dependence between the regressors and the random coefficients unmodelled. We motivate different notions of quantile partial effects in our model and study their identification. For the case of discretely-valued c...