Nonparametric Estimation of a Conditional Quantile Function in a Fixed Effects Panel Data Model Academic Article

abstract

• This paper develops a nonparametric method to estimate a conditional quantile function for a panel data model with an additive individual fixed effects. The proposed method is easy to implement, it does not require numerical optimization and automatically ensures quantile monotonicity by construction. Monte Carlo simulations show that the proposed estimator performs well in finite samples.

authors

• Li, Qi

published proceedings

• JOURNAL OF RISK AND FINANCIAL MANAGEMENT

altmetric score

• 0.5

author list (cited authors)

• Yan, K. X., & Li, Q. i.

citation count

• 1

complete list of authors

• Yan, Karen X||Li, Qi

publication date

• August 2018

publisher

• MDPI  Publisher

published in

• n1911-8074ISSN  Journal

keywords

• Conditional Quantile Function
• Nonparametric Method
• Panel Data

Digital Object Identifier (DOI)

• 10.3390/jrfm11030044

start page

• 44

end page

• 44

volume

• 11

issue

• 3

URL

• http://dx.doi.org/10.3390/jrfm11030044