Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models

Arbeitspapier

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under similar conditions to the ones used in the literature. We establish consistency and derive the asymptotic distribution of the new quantile regression estimator. Monte Carlo studies are carried out to study the small sample behavior of the proposed approach. The evidence shows that the estimator can significantly improve on the performance of existing estimators as long as the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using a large randomized control trial.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 7211

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions ; Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Consumer Economics: Empirical Analysis ; Electric Utilities
• Subject: common correlated effects ; dynamic panel ; quantile regression ; smart meter ; randomized experiment

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Harding, Matthew ; Lamarche, Carlos ; Pesaran, M. Hashem
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/185409
• Last update: 10.03.2025, 11:44 AM CET