Economics, Econometrics and Finance
3 years ago

Short panels bias exposed: New method corrects quantile regression estimates!

Applied Econometrics
Measuring heterogeneity with fixed effect quantile regression: Long panels and short panels
Galina Besstremyannaya, Sergei Golovan

Paper Summary

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The article discusses how to measure differences in how variables affect outcomes using panel data quantile regression. It points out that small sample sizes and short data collection periods can lead to biased results in quantile regression. The researchers suggest using smoothed quantile regression to reduce this bias in short panels.