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Reprise de nos séminaires du Jeudi après midi.

Jeudi 18 Septembre 2014

Martin WEIDNER (University College London, Department of Economics)

présentera une communication : "Incidental Parameter Bias in Panel Quantile Regressions " avec Manuel Arellano

de 14 h à 15 h 30 en salle S016 au CREST, 15 Boulevard Gabriel Péri, 92245 MALAKOFF (Métro : Malakoff/Plateau de Vanves (Immeuble "Malakoff 2)).


This paper studies linear quantile regression (QR) estimators in panel data settings with fixed effects. The estimation error in the fixed effects causes an incidental parameter problem in the parameters of interest, and we work out the first order asymptotic bias under an asymptotic where both N and T grow to infinity. This leading incidental parameter bias is of order 1/T, analogous to the situation in non-linear fixed effect panel models with smooth objective function. The key technical challenge in deriving our result is that the QR objective function is non-smooth, rendering the existing large T asymptotic bias results in the panel literature non-applicable. We provide bias corrected estimators and study their performance in Monte Carlo simulations, and in an application to educational achievement of high-school students.