Low-rank panel quantile regression: Estimation and inference

• 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
• Institution: Singapore Management University

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...