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STICERD Econometrics Seminar Series

Dynamic Quantile Panel Data Models with Interactive E ects

Jia Chen (University of York), joint with Yongcheol Shin and Chaowen Zheng

Thursday 07 December 2023 14:00 - 15:30

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Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.


About this event

We propose a simple two-step procedure for estimating the dynamic quantile panel data model with unobserved interactive effects. To account for the endogeneity induced by correlation between factors and lagged dependent variable/regressors, we first estimate factors consistently via an iterative principal component analysis. In the second step, we run a quantile regression for the augmented model with estimated factors and estimate the slope parameters. In particular, we adopt a smoothed quantile regression analysis where the quantile loss function is smoothed to have well-defined derivatives. The proposed two-step estimator is consistent and asymptotically normally distributed, but subject to asymptotic bias due to the incidental parameters. We then apply the split-panel jackknife approach to correct the bias. Monte Carlo simulations confirm that our proposed estimator has good finite sample performance. Finally, we demonstrate the usefulness of our proposed approach with an application to the analysis of bilateral trade for 380 country pairs over 59 years.

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, in SAL 3.05, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Sadia Ali: s.ali43@lse.ac.uk.

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