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 language | English |
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Pages (from-to) | 176-179 |
Number of pages | 4 |
Journal | Economics Letters |
Volume | 124 |
Issue number | 2 |
DOIs | |
State | Published - Aug 2014 |
Keywords
- Instrumental variables
- Panel quantiles
- Shrinkage
ASJC Scopus subject areas
- Finance
- Economics and Econometrics