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...
Saved in:
| Main Authors: | , |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2022
|
| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2634 https://ink.library.smu.edu.sg/context/soe_research/article/3633/viewcontent/2210.11062.pdf |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Singapore Management University |
| 語言: | English |