Arellano, Manuel; Bonhomme, Stéphane - 2015 - First draft: February 2013, This draft: July 2015
We introduce a class of quantile regression estimators for short panels. Our framework covers static and dynamic … regression as a flexible tool to model the relationships between outcomes, covariates, and heterogeneity. We develop an iterative … simulation-based approach for estimation, which exploits the computational simplicity of ordinary quantile regression in each …