Article ID Journal Published Year Pages File Type
5059167 Economics Letters 2014 8 Pages PDF
Abstract
This paper proposes an ℓ1 penalized quantile regression estimator which adapts the Hausman-Taylor instrumental variable approach in order to address the bias resulting from the shrinkage of the individual effects.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
A Hausman-Taylor instrumental variable approach to the penalized estimation of quantile panel models
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