A Hausman–Taylor instrumental variable approach to the penalized estimation of quantile panel models

This paper proposes an ℓ1 penalized quantile regression estimator which adapts the Hausman–Taylor instrumental variable approach in order to address the bias resulting from the shrinkage of the individual effects.

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Year of publication:	2014
Authors:	Harding, Matthew ; Lamarche, Carlos
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 124.2014, 2, p. 176-179
Publisher:	Elsevier
Subject:	Shrinkage \| Panel quantiles \| Instrumental variables

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Type of publication:	Article
Classification:	C33 - Models with Panel Data ; C31 - Cross-Sectional Models; Spatial Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011041838