Yiren Wang, Liangjun Su, Yichong Zhang
arXiv 20 Oct 2022 · Econometrics · 5 citations (OpenAlex)
arXiv:2210.11062 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we propose a class of low-rank panel quantile regression models which allow for unobserved slope heterogeneity over both individuals and time. We estimate the heterogeneous intercept and slope matrices via nuclear norm regularization followed by sample splitting, row- and column-wise quantile regressions and debiasing. We show that the estimators of the factors and factor loadings associated with the intercept and slope matrices are asymptotically normally distributed. In addition, we develop two specification tests: one for the null hypothesis that the slope coefficient is a constant over time and/or individuals under the case that true rank of slope matrix equals one, and the other for the null hypothesis that the slope coefficient exhibits an additive structure under the case that the true rank of slope matrix equals two. We illustrate the finite sample performance of estimation and inference via Monte Carlo simulations and real datasets.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chernozhukov, V., Hansen, C. B., Liao, Y., and Zhu, Y (2019) Inference for heterogeneous effects using low-rank estimations | 0.909 | 16 | 6 | 75% |
| 2 | Castagnetti, C., Rossi, E., and Trapani, L (2015) Inference on factor structures in heterogeneous panels | 0.737 | 4 | 3 | 50% |
| 3 | Rakhlin, A., Sridharan, K., and Tewari, A (2015) Sequential complexities and uniform martingale laws of large numbers | 0.737 | 4 | 3 | 50% |
| 4 | Galvao, A. F. and Kato, K (2016) Smoothed quantile regression for panel data | 0.737 | 3 | 3 | 67% |
| 5 | Lu, X. and Su, L (2021) Uniform inference in linear panel data models with two-dimensional heterogeneity self | 0.737 | 3 | 3 | 67% |
| 6 | Hong, S., Su, L., and Jiang, T (2022) Profile gmm estimation of panel data models with interactive fixed effects self | 0.737 | 3 | 2 | 100% |
| 7 | Chen, L (2022) Two-step estimation of quantile panel data models with interactive fixed effects | 0.737 | 3 | 2 | 100% |
| 8 | Galvao, A. F. and Wang, L (2015) Efficient minimum distance estimator for quantile regression fixed effects panel data | 0.737 | 3 | 2 | 100% |
| 9 | Belloni, A., Chen, M., Padilla, O. H. M., and Wang, Z (2022) High dimensional latent panel quantile regression with an application to asset pricing | 0.644 | 3 | 2 | 67% |
| 10 | Feng, J (2019) Regularized quantile regression with interactive fixed effects | 0.644 | 3 | 2 | 67% |
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