Nonparametric Estimation of a Conditional Quantile Function in a Fixed Effects Panel Data Model

被引：2

作者：

Yan, Karen X. ^{[1
]}

Li, Qi ^{[1
,2
]}

机构：

[1] Texas A&M Univ, Dept Econ, College Stn, TX 77845 USA

[2] Capital Univ Econ & Business, ISEM, Beijing 100070, Peoples R China

来源：

JOURNAL OF RISK AND FINANCIAL MANAGEMENT | 2018年 / 11卷 / 03期

关键词：

nonparametric method; conditional quantile function; panel data;

D O I：

10.3390/jrfm11030044

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper develops a nonparametric method to estimate a conditional quantile function for a panel data model with an additive individual fixed effects. The proposed method is easy to implement, it does not require numerical optimization and automatically ensures quantile monotonicity by construction. Monte Carlo simulations show that the proposed estimator performs well in finite samples.

引用

页数：10

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