Search Results - subject:"quantile regression."

Harding, Matthew; Lamarche, Carlos; Pesaran, M. Hashem - 2018

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … new quantile regression estimator. Monte Carlo studies are carried out to study the small sample behavior of the proposed …

Persistent link: https://www.econbiz.de/10011931961

Public versus private sector wage gap in Egypt : evidence from quantile regression on panel data

Tansel, Aysıt; Keskin, Halil Ibrahim; Ozdemir, Zeynel … - 2018

This paper considers the public and private sector wage earners in Egypt and examines their wage distribution during 1998-2012 using Egyptian Labor Market Panel Survey. We estimate the public-private sector wage gap with Mincer wage equations both at the mean and at different quantiles of the...

Persistent link: https://www.econbiz.de/10011925568

Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?

Auer, Benjamin R.; Rottmann, Horst - 2018

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...

Persistent link: https://www.econbiz.de/10011927961

The evolution of the gender test score gap through seventh grade : new insights from Australia using unconditional quantile regression and decomposition

Le, Huong Thu; Ha Trong Nguyen - In: IZA Journal of Labor Economics 7 (2018) 2, pp. 1-42

This paper documents the patterns and examines the factors contributing to a gender gap in educational achievements in early seventh grade of schooling using a recent and nationally representative panel of Australian children. Regression results indicate that females excel at non-numeracy...

Persistent link: https://www.econbiz.de/10011860994

Smoothed GMM for quantile models

Castro, Luciano I. de; Galvao, Antonio Fialho <Jr.>; … - 2018

Persistent link: https://www.econbiz.de/10011881641

Linkages between oil price shocks and stock returns revisited

Doko Tchatoka, Firmin; Masson, Virginie; Parry, Sean - 2018

Persistent link: https://www.econbiz.de/10011886019

Structural transformation in South Africa

Jha, Raghbendra; Afrin, Sadia - 2018

Persistent link: https://www.econbiz.de/10011887627

Public sector wage gaps over the long-run : evidence from panel administrative data

Bargain, Olivier; Etienne, Audrey; Melly, Blaise - 2018

With the increase in national debts, pay freezes are imposed for several years in the public sector of some countries, at the risk of decreasing the quality of public services. Since public wage setting policies should account for relevant comparisons with the private sector, we provide novel...

Persistent link: https://www.econbiz.de/10011946846

From average Joe to frugal Jane and wasteful John : quantile regression analysis of Swiss households' electricity use

Tilov, Ivan; Volland, Benjamin - 2018

In this article, we investigate the heterogeneity in household electricity demand in Switzerland. We use a quantile … regression approach in order to assess the impacts of electricity prices, income and other socio-demographic characteristics …

Persistent link: https://www.econbiz.de/10011947291

Decentralization estimators for instrumental variable quantile regression models

Kaido, Hiroaki; Wüthrich, Kaspar - 2018

The instrumental variable quantile regression (IVQR) model of Chernozhukov and Hansen (2005, 2006) is a flexible and … shows that the IVQR estimation problem can be decomposed into a set of conventional quantile regression sub-problems, which …

Persistent link: https://www.econbiz.de/10011950639