[Forum SIS] Seminar C. LAMARCHE (Univ. of Oklahoma), Padova July 6/2009

[Patrizia Piacentini]

Apologies for cross-posting

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DIPARTIMENTO DI SCIENZE STATISTICHE
Università degli Studi di Padova
Via C. Battisti, 241 - 35121 Padova
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Seminar

PENALIZED QUANTILE REGRESSION ESTIMATION
FOR A MODEL WITH ENDOGENOUS INDIVIDUAL EFFECTS

by

CARLOS LAMARCHE
University of Oklahoma, USA

Monday July 6, 2009
14.30
Aula Cucconi

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ABSTRACT
This paper proposes a penalized quantile regression estimator
for panel data models that explicitly considers individual
heterogeneity associated with the covariates. We provide conditions
under which the estimator is asymptotically unbiased and Gaussian,
thus the harshness of the penalization can be determined by minimizing
estimated variance. We investigate finite sample and asymptotic
performance in terms of quadratic loss in a class of quantile regression
estimators for panel data. The evidence suggests that the estimator can
significantly reduce the variability of existing quantile regression
approaches for panel data models with endogenous individual effects,
without introducing bias. An empirical application illustrates the use
of the approach.
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-- 
Patrizia Piacentini
Seminars and Meetings
Organizing Secretariat
phn  049 8274167 - fax 049 8274170
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