This paper proposes new ℓ1-penalized quantile regression estimators for panel data, which explicitly allows for individual heterogeneity associated with covariates. We conduct Monte Carlo simulations to assess the small sample performance of the new estimators and provide comparisons of new...

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. Monte Carlo studies are carried out to...