CCE Estimation of Heterogeneous Panel Quantile Regression Models with Relatively Small T
时间维度较小时异质性面板分位数回归的 CCE 估计AI 解读 ↓
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时间维度较小时异质性面板分位数回归的 CCE 估计AI 解读 ↓
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We consider a common correlated effects estimator for panel quantile regression models featuring heterogeneous slope coefficients and interactive fixed effects. Using convolution smoothing to facilitate the derivation of asymptotic properties, our method allows the number of time periods (T) to grow at a much slower rate than the number of cross-sectional units (N). We establish that the mean group estimator converges to a limiting normal distribution, which may have a nonzero mean in our asymptotic framework. To address biases from the smoothed objective function and a relatively small T, we introduce a two-step bias correction procedure. Monte Carlo simulations demonstrate the method’s validity in finite samples, and we apply it to analyze the sharp rise in demand for high-skilled workers in U.S. manufacturing.