A simple estimator for quantile panel data models using smoothed quantile regressions
基于平滑分位数回归的简便面板分位数模型估计量
Summary This paper considers panel data models where the idiosyncratic errors are subject to conditonal quantile restrictions. We propose a two-step estimator based on smoothed quantile regressions that is easy to implement. The asymptotic distribution of the estimator is established, and the analytical expression of its asymptotic bias is derived. Building on these results, we show how to make asymptotically valid inference on the basis of both analytical and split-panel…