A Hausman-Taylor instrumental variable approach to the penalized estimation of quantile panel models

Matthew Harding, Carlos Lamarche

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

This paper proposes an ℓ1 penalized quantile regression estimator which adapts the Hausman-Taylor instrumental variable approach in order to address the bias resulting from the shrinkage of the individual effects.

Original languageEnglish
Pages (from-to)176-179
Number of pages4
JournalEconomics Letters
Volume124
Issue number2
DOIs
StatePublished - Aug 2014

Keywords

  • Instrumental variables
  • Panel quantiles
  • Shrinkage

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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