Asymptotics for panel quantile regression models with individual effects
具有个体效应的面板分位数回归模型的渐近理论
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…