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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| 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 |