Continuous treatments (e.g., doses) arise often in practice. Methods for estimation and inference for quantile treatment effects models with a continuous treatment are proposed. Identification of the parameters of interest, the dose-response functions and the quantile treatment effects, is...

This paper develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed effects, allowing arbitrary temporal correlation structure within each individual. The conventional QR standard errors assuming independent outcomes can seriously underestimate...

This paper develops a dynamic model of rational behavior under uncertainty, in which the agent maximizes the stream of future τ-quantile utilities, for τ ∈ (0, 1). That is, the agent has a quantile utility preference instead of the standard expected utility. Quantile preferences have useful...

A new Stata command, xtsktest, is proposed to explore non-normalities in linear panel data models. The tests explore skewness and excess kurtosis allowing researchers to identify departures away from gaussianity in both error components of a standard panel regression, separately or jointly. The...