Working papers hartley, robert paul, carlos lamarche, and james p. A quantile regression approach for estimating panel data models using instrumental variables. Salvatore ingrassia, yongdai kim, robert kohn, carlos lamarche, degui li, wk li, yi li, zudi lu, geoff mclachlan, samuel mueller, marc paolella, tommaso proietti, artem. Econometrics has had a distinguished start publishing over 92 articles since 20, with 76,475 downloads.
The human cost of economic crises weatherhead center. Matthew harding and carlos lamarche november 16, 2011 abstract this paper proposes a quantile regression estimator for a panel data model with interactive e. He is an econometrician who conducts research on theoretical and applied econometrics with a. Computational and methodological statistics cmstatistics. One of the very important roles of econometrics is to provide the tools for modeling on the basis of given data. Penalized quantile regression with semiparametric correlated.
The regression modeling technique helps a lot in this task. Liew associate professor of economics at the university of oklahoma, and gatton endowed associate professor at the university of kentucky. Department of economics illinois econometrics alumni conference ii april 19th, 20 morgancaterpillar room, funk library aces library. Quantile regression for dynamic panel data with fixed effects, journal of econometrics, 164, 142157, 2011. Robert paul hartley curriculum vitae columbia school of. We propose to construct confidence intervals for the parameters of interest using percentile bootstrap with pairwise resampling. This cited by count includes citations to the following articles in scholar. Programme and abstracts 1st international conference. The ecosta reception will take place on thursday, th december 2018, 19. Xuming he, thomas kneib, carlos lamarche, lan wang. This page intentionally left blank master avanzato in.
Conference on advances in econometrics cosponsored by vanderbilt department of economics and cemmap, university college london friday, october 11, 2019 sarratt student center 216220. The econometrics and statistics ecosta editorial board meeting will take place on friday, 14th december 2018. The human cost of economic crises by marcus alexander, matthew harding, and carlos lamarche paper no. He is an econometrician who conducts research on theoretical. Carlos lamarche, department of economics, university of kentucky, us. Formerly he has been an assistant professor and chong k. Iza institute of labor economics discussion paper 10942 robert paul hartley curriculum vitae, may 2019 1. Journal of applied econometrics 32 2, 342358, 2017. Carlos lamarche, department of economics, university of kentucky, 223g gatton college of business and economics, lexington. Entry and bidding in common and private values in auctions with an unknownnumber of rivals, with d.
A panel quantile approach to attrition bias in big data. Marcus alexander, department of government, harvard kennedy school and institute for quantitative social science, harvard university. Econometrics and statistics vol 8, pages 1250 october 2018. Monte carlo studies are carried out to study the small sample behavior of the proposed approach. Estimation of censored quantile regression for panel data. Sparsitybased estimation of a panel quantile count data model with applications to big data, matthew harding duke university and carlos lamarche. May 2020 comments welcome 1this manuscript may be printed and reproduced for individual or instructional use, but may not be printed for commercial purposes. Econometrics carlos lamarche, university of kentucky common correlated effects estimation of heterogeneous dynamic panel quantile regression models wednesday, april 17, 2019 econometrics victoria zindewalsh, mcgill university wald tests when restrictions are locally singular thursday, april 18, 2019 political economy. To mark the quality of the published articles i am pleased to announce the inauguration of the annual econometrics award for the best article of the year, starting with articles published in 2015.
Estimating and testing a quantile regression model with. Programme and abstracts 1st international conference on. This paper evaluates bootstrap inference methods for quantile regression panel data models. Revised and resubmitted, journal of political economy. Hansen 2000, 20201 university of wisconsin department of economics this revision. First, the bootstrap samples are constructed by resampling only from crosssectional units with.
Econometrics free fulltext econometrics best paper. Lamarche, carlos gatton college of business and economics. This paper proposes a quantile regression estimator for a panel data model with interactive effects potentially correlated with the independent variables. We provide conditions under which the slope parameter estimator is asymptotically gaussian. Midwest econometrics group university of notre dame. Carlos lamarche is gatton endowed professor of economics at the university of kentucky. Estimation of a factoraugmented linear panel data model. Effects, antonio galvao university of wisconsin milwaukee, carlos lamarche university of kentucky and luiz lima university of tennessee.
Common correlated effects estimation of heterogeneous dynamic. We provide conditions under which the estimator is asymptotically unbiased and gaussian, thus. Common correlated effects estimation of heterogeneous. Estimation of censored quantile regression for panel data with fixed effects with carlos lamarche and luiz lima, journal of the american statistical association, 108, 10751089, 20. Estimating and testing a quantile regression model with interactive. We conduct monte carlo simulations to assess the small. A quantile regression approach for estimating panel data models using instrumental variables article in economics letters 1043. Contents list of figures page xv list of tables xvii preface xxi i preliminaries 1 overview 3 1. A quantile regression approach for estimating panel data. Quantile regression has gained its prominence in the statistics and econometrics literature because of its power in analyzing relationships that exhibit inherent heterogeneity. This paper proposes a penalized quantile regression estimator for panel data that explicitly considers individual heterogeneity associated with the covariates. Eco 703 introduction to econometrics i department of. Persistence and regional disparities in unemployment.
Eleonora granziera nested forecast model comparisons. Robust penalized quantile regression estimation for panel data. He is an econometrician who conducts research on theoretical and applied econometrics. Robust penalized quantile regression estimator for panel data, journal of econometrics 157 2010. Recent studies have used a distributional analysis of welfare reform experiments suggesting that some individuals reduce hours in order to opt into welfare, an example of behavioralinduced participation. Canadian economics association annual conference, mayjune 2019, banff new york camp econometrics xiv, april 2019, clayton midwest econometrics group, october 2018, madison canadian econometrics study group, october 2018, ottawa cireq conference recent advances in the method of moments, april 2018, montreal poster.
Quantile regression for timeseriescrosssection data. Lamarche contact information department of economics telephone. Econometrics chapter 1 introduction to econometrics shalabh, iit kanpur 5 econometrics and regression analysis. Estimation of a factoraugmented linear panel data model with applications using student achievement data matthew hardingy, carlos lamarchez and chris murisx june 9, 2019 abstract this paper investigates the estimation of latent factors in a factoraugmented panel model when the crosssection and time series dimensions of the panel are large.
Department of economics, university of kentucky, 223g gatton college of business and economics, lexington, united states. Existing work on penalized quantile regression for longitudinal data has been focused almost exclusively on point estimation. Documentation for quantile regression for panel data qrpd. We first show that the pairs bootstrap that samples crosssectional units with replacement does not approximate well the limiting distribution of the penalized estimator. Standard available methods are not appropriate for estimation of a censored.
Pdf on bootstrap inference for quantile regression panel. Estimation of censored quantile regression for panel data with fixed e. Pdf wild bootstrap inference for penalized quantile. Flores california polytechnic state university at san luis obispo, alfonso floreslagunes syracuse university.
Quantiles of the gain distribution of an early child intervention erich battistin, carlos lamarche, enrico rettore. He is coeditor of the southern economic journal, associate editor of empirical economics, associate editor of econometrics, and received several research awards for his work on quantile regression. It is a great pleasure to welcome you to the 1st international conference on econometrics and. In this work, we investigate statistical inference.
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