Title: Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
Authors: Matthew Harding - University of California, Irvine (United States)
Carlos Lamarche - University of Kentucky (United States) [presenting]
Hashem Pesaran - University of Southern California (United States)
Abstract: A quantile regression estimator is proposed for a heterogeneous panel model with lagged dependent variables and interactive effects. The Common Correlated Effects (CCE) approach is adopted. We demonstrate that the extension to the estimation of dynamic quantile regression models is feasible under similar conditions to the ones used in the literature. We establish consistency and derive the asymptotic distribution of the new quantile regression estimator. Monte Carlo studies are carried out to study the small sample behavior of the proposed approach. The evidence shows that the estimator can significantly improve the performance of existing estimators as long as the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using a large randomized control trial.