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Network and panel quantile effects via distribution regression

Abstract:

This paper provides a method to construct simultaneous con fidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete outcome variables. The method is based upon projection of simultaneous confi dence bands for distribution functions constructed from fixed effects distribution regression estimators. These fi xed effects estimators are bias corrected to deal with the inci...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1016/j.jeconom.2020.08.009

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Oxford college:
Nuffield College
Role:
Author
Publisher:
Elsevier Publisher's website
Journal:
Journal of Econometrics Journal website
Publication date:
2020-10-19
Acceptance date:
2020-08-03
Event start date:
2018-03-22T00:00:00Z
DOI:
ISSN:
0304-4076
Language:
English
Keywords:
Pubs id:
1158607
Local pid:
pubs:1158607
Deposit date:
2021-05-17

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