We investigate how to measure common risks in the tails of return distributions using the recently proposed panel quantile regression model for financial returns. By exploring how volatility crosses all quantiles of the return distribution and using a fixed effects estimator, we can control for otherwi...
Specifically, the study estimates a quantile regression model for panel data (qregpd) with nonadditive fixed effects (Baker et al., 2016; Powell, 2016). The non-separable disturbance term commonly associated with quantile estimation is maintained and the model is estimated in an instrumental variable...
Business cycleBank creditPanel quantile regression modelRegarding the co-movement between financial factors and the business cycle, we use the data of 18 countries from 1999 to 2016 and examine the asymmetric effects of bank credit on the business cycle by using the panel quantile regression. The ...
Lamarche, C. (2021).Quantile regression for panel data and factor models.Oxford Research Encyclopedia of Economics and Finance. Google Scholar Madueke, C. M., Anisiobi, C. A., & Ozoh, J. N. (2022). Foreign direct investment and poverty reduction in Nigeria: Implication for sustainable de...
本文研究了基于面板数据的分位数回归模型的变量选择问题.通过增加改进的自适应Lasso惩罚项,同时实现了固定效应面板数据的分位数回归和变量选择,得到了模型中参数的选择相合性和渐近正态性.随机模拟验证了该方法的有效性.推广了文献[14]的结论.In this paper, we consider
Bakhsh S, Zhang W, Ali K, Anas M (2024) Transition towards environmental sustainability through financial inclusion, and digitalization in China: evidence from novel quantile-on-quantile regression and wavelet coherence approach. Technol Forecast Soc Chang 198:123013. https://doi.org/10.1016/j.tech...
Evidence from national panel quantile regression. J Clean Prod 307:127133 Article CAS Google Scholar Xiong C, Chen S, Xu L (2020) Driving factors analysis of agricultural carbon emissions Based on extended STIRPAT model of Jiangsu Province, China. Growth Change 51(3):1401–1416 Article Google...
Quantile regression estimation of panel duration models with censored data. Advances in Econometrics 29, 237-267.Harding, M., and C. Lamarche (2012): "Quantile Regression Estimation of Panel Du- ration Models with Censored Data," in Essays in Honor of Jerry Hausman (Advances in Econometrics, ...
Sun (2005) builds a multinomial logistic regression model to infer the group pattern while nonparametric finite mixture models are considered in Allman et al. (2009) and Kasahara and Shimotsu (2009) among many others. The focus of the present paper is on quantile regression for panel data ...
In this note, we present one such model. We consider a density on the error term such that the resultant log likelihood is equivalent to the objective function of a quantile regression. The objective function is nondifferentiable, and the asymptotic properties of the MLE are not immediately ...