4.5 Article

Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure

Related references

Note: Only part of the references are listed.
Article Economics

Functional coefficient panel modeling with communal smoothing covariates

Peter C. B. Phillips et al.

Summary: Behavior at the individual level is often influenced by the overall system. To capture this behavioral feature, a functional coefficient panel model is used to study how certain communal covariates can jointly impact panel interactions. The performance of the model is examined through simulation and empirical study, confirming its reliability and accuracy.

JOURNAL OF ECONOMETRICS (2022)

Article Economics

Estimation and inference in heterogeneous spatial panels with a multifactor error structure

Jia Chen et al.

Summary: This paper develops a unified econometric framework for analyzing heterogeneous panel data models that consider both spatial dependence and common factors. The proposed CCEX-IV estimation procedure addresses the issues of endogeneity and correlation between regressors and factors. Monte Carlo simulations show satisfactory performance of the proposed estimators.

JOURNAL OF ECONOMETRICS (2022)

Article Economics

Homogeneity Pursuit in Single Index Models based Panel Data Analysis

Heng Lian et al.

Summary: A new modeling approach for panel data analysis is proposed in this study, incorporating single index models and homogeneity structure to consider individual attributes while maintaining parsimony. The resulting estimators show good performance in finite sample sizes according to intensive simulation studies.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2021)

Article Economics

Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data

Degui Li et al.

Summary: This article investigates the nonparametric estimation of a conditional quantile function with mixed discrete and continuous covariates, introducing a new local linear smoothing technique. The proposed approach utilizes a fully data-driven cross-validation method to select bandwidths and derives asymptotic optimality theory. Simulations demonstrate that the method performs well compared to existing methods.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2021)

Article Economics

Identifying latent group structures in nonlinear panels

Wuyi Wang et al.

Summary: The study introduces a method for identifying latent group structures in nonlinear panel data models, extending the sequential binary segmentation algorithm from time series to panel data framework. The method efficiently identifies the true group structures, offering a more convenient implementation and demonstrating good performance in finite samples.

JOURNAL OF ECONOMETRICS (2021)

Article Statistics & Probability

Nonparametric homogeneity pursuit in functional-coefficient models

Jia Chen et al.

Summary: This paper investigates the homogeneity of coefficient functions in nonlinear models with functional coefficients, proposing a potential semiparametric modelling structure. By utilizing kernel estimates and penalisation methods, the paper aims to reduce the number of unknown parameters and nonparametric components in the models, ultimately achieving dimension reduction.

JOURNAL OF NONPARAMETRIC STATISTICS (2021)

Article Statistics & Probability

Long-Range Dependent Curve Time Series

Degui Li et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2020)

Article Economics

Identification and estimation in panel models with overspecified number of groups

Ruiqi Liu et al.

JOURNAL OF ECONOMETRICS (2020)

Article Economics

Multiscale clustering of nonparametric regression curves

Michael Vogt et al.

JOURNAL OF ECONOMETRICS (2020)

Article Economics

On the unbiased asymptotic normality of quantile regression with fixed effects

Antonio F. Galvao et al.

JOURNAL OF ECONOMETRICS (2020)

Article Economics

Sieve Estimation of Time-Varying Panel Data Models With Latent Structures

Liangjun Su et al.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2019)

Article Economics

Conditional quantile processes based on series or many regressors

Alexandre Belloni et al.

JOURNAL OF ECONOMETRICS (2019)

Article Economics

Quantile-regression-based clustering for panel data

Yingying Zhang et al.

JOURNAL OF ECONOMETRICS (2019)

Article Economics

Panel data quantile regression with grouped fixed effects

Jiaying Gu et al.

JOURNAL OF ECONOMETRICS (2019)

Article Business, Finance

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

Karen X. Yan et al.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT (2018)

Article Statistics & Probability

Classification of non-parametric regression functions in longitudinal data models

Michael Vogt et al.

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2017)

Article Statistics & Probability

Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures

Tomohiro Ando et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2017)

Article Statistics & Probability

STRUCTURE IDENTIFICATION IN PANEL DATA ANALYSIS

Yuan Ke et al.

ANNALS OF STATISTICS (2016)

Article Economics

Identifying Latent Structures in Panel Data

Liangjun Su et al.

ECONOMETRICA (2016)

Article Economics

Smoothed quantile regression for panel data

Antonio F. Galvao et al.

JOURNAL OF ECONOMETRICS (2016)

Article Economics

Grouped Patterns of Heterogeneity in Panel Data

Stephane Bonhomme et al.

ECONOMETRICA (2015)

Article Economics

Immigration and House Prices in the UK

Filipa Sa

ECONOMIC JOURNAL (2015)

Article Economics

Eigenvalue Ratio Test for the Number of Factors

Seung C. Ahn et al.

ECONOMETRICA (2013)

Article Economics

Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions

Qi Li et al.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2013)

Article Statistics & Probability

Variable selection in high-dimensional quantile varying coefficient models

Yanlin Tang et al.

JOURNAL OF MULTIVARIATE ANALYSIS (2013)

Article Statistics & Probability

Estimation of Censored Quantile Regression for Panel Data With Fixed Effects

Antonio F. Galvao et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2013)

Article Statistics & Probability

FACTOR MODELING FOR HIGH-DIMENSIONAL TIME SERIES: INFERENCE FOR THE NUMBER OF FACTORS

Clifford Lam et al.

ANNALS OF STATISTICS (2012)

Article Statistics & Probability

ESTIMATION IN FUNCTIONAL LINEAR QUANTILE REGRESSION

Kengo Kato

ANNALS OF STATISTICS (2012)

Article Economics

Asymptotics for panel quantile regression models with individual effects

Kengo Kato et al.

JOURNAL OF ECONOMETRICS (2012)

Article Economics

A simple approach to quantile regression for panel data

Ivan A. Canay

ECONOMETRICS JOURNAL (2011)

Article Economics

PANEL DATA MODELS WITH FINITE NUMBER OF MULTIPLE EQUILIBRIA

Jinyong Hahn et al.

ECONOMETRIC THEORY (2010)

Article Statistics & Probability

QUANTILE REGRESSION IN PARTIALLY LINEAR VARYING COEFFICIENT MODELS

Huixia Judy Wang et al.

ANNALS OF STATISTICS (2009)

Article Statistics & Probability

Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models

Zongwu Cai et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2008)

Article Economics

Transition modeling and econometric convergence tests

Peter C. B. Phillips et al.

ECONOMETRICA (2007)

Article Statistics & Probability

Quantile regression with varying coefficients

Mi-Ok Kim

ANNALS OF STATISTICS (2007)

Article Economics

Instrumental quantile regression inference for structural and treatment effect models

Victor Chernozhukov et al.

JOURNAL OF ECONOMETRICS (2006)

Article Statistics & Probability

Quantile autoregression

Roger Koenker et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2006)

Article Statistics & Probability

Quantile regression in varying coefficient models

T Honda

JOURNAL OF STATISTICAL PLANNING AND INFERENCE (2004)

Article Statistics & Probability

Local linear additive quantile regression

KM Yu et al.

SCANDINAVIAN JOURNAL OF STATISTICS (2004)

Article Statistics & Probability

Quantile regression for longitudinal data

R Koenker

JOURNAL OF MULTIVARIATE ANALYSIS (2004)

Article Economics

Regression quantiles for time series

ZW Cai

ECONOMETRIC THEORY (2002)