Arbeitspapier

Network and panel quantile effects via distribution regression

This paper provides a method to construct simultaneous confidence 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 confidence bands for distribution functions constructed from fixed effects distribution regression estimators. These fixed effects estimators are bias corrected to deal with the incidental parameter problem. Under asymptotic sequences where both dimensions of the data set grow at the same rate, the confidence bands for the quantile functions and effects have correct joint coverage in large samples. An empirical application to gravity models of trade illustrates the applicability of the methods to network data.

Sprache
Englisch

Erschienen in
Series: cemmap working paper ; No. CWP70/18

Klassifikation
Wirtschaft

Ereignis
Geistige Schöpfung
(wer)
Chernozhukov, Victor
Fernández-Val, Iván
Weidner, Martin
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2018

DOI
doi:10.1920/wp.cem.2018.7018
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Chernozhukov, Victor
  • Fernández-Val, Iván
  • Weidner, Martin
  • Centre for Microdata Methods and Practice (cemmap)

Entstanden

  • 2018

Ähnliche Objekte (12)