Low-rank panel quantile regression: Estimation and inference

Low-rank panel quantile regression: Estimation and inference

In this paper, we propose a class of low-rank panel quantile regression models which allow for unobserved slope heterogeneity over both individuals and time. We estimate the heterogeneous intercept and slope matrices via nuclear norm regularization followed by sample splitting, row- and column-wise...

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Bibliographic Details
Main Authors: WANG, Yiren, ZHANG, Yichong
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Debiasing
heterogeneity
nuclear norm regularization
panel quantile regression
sample splitting
specification test
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2634
https://ink.library.smu.edu.sg/context/soe_research/article/3633/viewcontent/2210.11062.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2634
https://ink.library.smu.edu.sg/context/soe_research/article/3633/viewcontent/2210.11062.pdf

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