Quantile estimation of heterogenous panel quantile model with group structure

被引：0
|
作者：
Li, Donglin [1 ]
Wang, Wenyue [1 ]
Ren, Yanyan [1 ]
机构：
[1] Shandong Univ, Sch Econ, Jinan 250100, Peoples R China
来源：
ECONOMICS LETTERS | 2024年 / 241卷
关键词：
Heterogenous panel data; Quantile regression; C; -Lasso; Group structure; REGRESSION;
D O I：
10.1016/j.econlet.2024.111798
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper introduces a heterogeneous panel quantile model whose coefficients have group structure. We propose a penalized minimum weighted absolute deviation estimator in order to estimate the coefficients and identify the group structure simultaneously at any quantiles.
引用
收藏
页数：7
相关论文
共 50 条
  • [1] HETEROGENOUS EFFECTS OF THE DETERMINANTS OF PRO-MARKET REFORMS: PANEL QUANTILE ESTIMATION FOR OECD COUNTRIES
    Barisik, Salih
    Ergen, Kubilay
    [J]. ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2023, 26 (02): : 36 - 51
  • [2] Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
    Yang, Xiaorong
    Chen, Jia
    Li, Degui
    Li, Runze
    [J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2024, 42 (03) : 1026 - 1040
  • [3] Robust penalized quantile regression estimation for panel data
    Lamarche, Carlos
    [J]. JOURNAL OF ECONOMETRICS, 2010, 157 (02) : 396 - 408
  • [4] Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
    Ando, Tomohiro
    Bai, Jushan
    [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2020, 115 (529) : 266 - 279
  • [5] Nonparametric Estimation of a Conditional Quantile Function in a Fixed Effects Panel Data Model
    Yan, Karen X.
    Li, Qi
    [J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2018, 11 (03):
  • [6] Nonlinear panel data estimation via quantile regressions
    Arellano, Manuel
    Bonhomme, Stephane
    [J]. ECONOMETRICS JOURNAL, 2016, 19 (03): : C61 - C94
  • [7] A spatial panel quantile model with unobserved heterogeneity
    Ando, Tomohiro
    Li, Kunpeng
    Lu, Lina
    [J]. JOURNAL OF ECONOMETRICS, 2023, 232 (01) : 191 - 213
  • [8] Quantile estimation of the stochastic frontier model
    Jradi, Samah
    Parmeter, Christopher F.
    Ruggiero, John
    [J]. ECONOMICS LETTERS, 2019, 182 : 15 - 18
  • [9] Parameter and quantile estimation for a fatigue model
    Dupuis, DJ
    [J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 1998, 29 (01) : 55 - 68
  • [10] Quantile estimation of semiparametric model with time-varying coefficients for panel count data
    Wang, Yijun
    Wang, Weiwei
    [J]. PLOS ONE, 2021, 16 (12):
12345