A quantile regression approach for estimating panel data models using instrumental variables

Matthew Harding, Carlos Lamarche

Research output: Contribution to journalArticlepeer-review

92 Scopus citations

Abstract

We introduce a quantile regression approach to panel data models with endogenous variables and individual effects correlated with the independent variables. We find newly developed quantile regression methods can be easily adapted to estimate this class of models efficiently.

Original languageEnglish
Pages (from-to)133-135
Number of pages3
JournalEconomics Letters
Volume104
Issue number3
DOIs
StatePublished - Sep 2009

Keywords

  • Individual Effects
  • Instrumental Variables
  • Quantile regression

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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