کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1149124 957862 2010 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Penalized quantile regression for dynamic panel data
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Penalized quantile regression for dynamic panel data
چکیده انگلیسی

This paper studies penalized quantile regression for dynamic panel data with fixed effects, where the penalty involves l1 shrinkage of the fixed effects. Using extensive Monte Carlo simulations, we present evidence that the penalty term reduces the dynamic panel bias and increases the efficiency of the estimators. The underlying intuition is that there is no need to use instrumental variables for the lagged dependent variable in the dynamic panel data model without fixed effects. This provides an additional use for the shrinkage models, other than model selection and efficiency gains. We propose a Bayesian information criterion based estimator for the parameter that controls the degree of shrinkage. We illustrate the usefulness of the novel econometric technique by estimating a “target leverage” model that includes a speed of capital structure adjustment. Using the proposed penalized quantile regression model the estimates of the adjustment speeds lie between 3% and 44% across the quantiles, showing strong evidence that there is substantial heterogeneity in the speed of adjustment among firms.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 11, November 2010, Pages 3476–3497
نویسندگان
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