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 provides a cautionary tale about claiming environmental costs and benefits when justifying the use of public funds. Using the example of a dynamic pricing policy, we show that the resulting impact on short-term operating costs and emissions is at best ambiguous. Moreover, it is hard...

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...

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...

Does development lead to the establishment of more democratic institutions? Over the past 50 years, the countries have illustratred two very distinct stages of political development—authoritarian states with low levels of freedom on one side and democracies with liberal institutions on the...

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...

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...