Quantile regression with nonadditive fixed effects

This paper introduces a quantile regression estimator for panel data (QRPD) with nonadditive fixed effects, maintaining the nonseparable disturbance term commonly associated with quantile estimation. QRPD estimates the impact of exogenous or endogenous treatment variables on the outcome distribution using within variation in the instruments for identification purposes. Most quantile panel data estimators include additive fixed effects which separates the disturbance term and assumes the parameters vary based only on the time-varying components of the disturbance term. QRPD produces consistent estimates for small T. I estimate the effect of the 2008 tax rebates on the short-term household consumption distribution.

Automated summary

This paper introduces a quantile regression estimator for panel data with nonadditive fixed effects and a nonseparable disturbance term. It uses within variation in the instruments to estimate the impact of exogenous or endogenous treatment variables on the outcome distribution. Unlike most quantile panel data estimators, the proposed estimator produces consistent estimates for small T. The paper also estimates the effect of the 2008 tax rebates on the short-term household consumption distribution.