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

Matthew Harding; Carlos Lamarche

doi:10.1016/j.econlet.2014.05.009

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

Matthew Harding, Carlos Lamarche

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	176-179
Number of pages	4
Journal	Economics Letters
Volume	124
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2014.05.009
State	Published - Aug 2014

Keywords

Instrumental variables
Panel quantiles
Shrinkage

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2014.05.009

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title = "A Hausman-Taylor instrumental variable approach to the penalized estimation of quantile panel models",

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.",

keywords = "Instrumental variables, Panel quantiles, Shrinkage",

author = "Matthew Harding and Carlos Lamarche",

year = "2014",

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language = "English",

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AU - Lamarche, Carlos

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KW - Panel quantiles

KW - Shrinkage

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JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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