The incidental parameter problem in a non-differentiable panel data model

We consider a panel quantile model with fixed effects. It is shown that the maximum likelihood estimator is numerically equivalent to the least absolute deviations estimator of the differenced model, and as a consequence, there is no incidental parameter problem.

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Year of publication:	2009
Authors:	Graham, Bryan S. ; Hahn, Jinyong ; Powell, James L.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 105.2009, 2, p. 181-182
Publisher:	Elsevier
Subject:	Panel Quantile Incidental parameter problem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008474076