It is a great pleasure to welcome you to the 1st international conference on econometrics and. Matthew harding and carlos lamarche november 16, 2011 abstract this paper proposes a quantile regression estimator for a panel data model with interactive e. Recent studies have used a distributional analysis of welfare reform experiments suggesting that some individuals reduce hours in order to opt into welfare, an example of behavioralinduced participation. Journal of applied econometrics 32 2, 342358, 2017. He is an econometrician who conducts research on theoretical and applied econometrics with a. The econometrics and statistics ecosta editorial board meeting will take place on friday, 14th december 2018.
Xuming he, thomas kneib, carlos lamarche, lan wang. A quantile regression approach for estimating panel data models using instrumental variables. Department of economics, university of kentucky, 223g gatton college of business and economics, lexington, united states. Programme and abstracts 1st international conference. The human cost of economic crises by marcus alexander, matthew harding, and carlos lamarche paper no. Liew associate professor of economics at the university of oklahoma, and gatton endowed associate professor at the university of kentucky. A panel quantile approach to attrition bias in big data. In this work, we investigate statistical inference. Lamarche labour economics 54 2018 5151 it has been recognized in the literature that afdcassigned women leave welfare at di. Estimation of censored quantile regression for panel data with fixed effects with carlos lamarche and luiz lima, journal of the american statistical association, 108, 10751089, 20. Working papers hartley, robert paul, carlos lamarche, and james p.
Existing work on penalized quantile regression for longitudinal data has been focused almost exclusively on point estimation. Estimation of a factoraugmented linear panel data model with applications using student achievement data matthew hardingy, carlos lamarchez and chris murisx june 9, 2019 abstract this paper investigates the estimation of latent factors in a factoraugmented panel model when the crosssection and time series dimensions of the panel are large. Estimating and testing a quantile regression model with interactive. Econometrics carlos lamarche, university of kentucky common correlated effects estimation of heterogeneous dynamic panel quantile regression models wednesday, april 17, 2019 econometrics victoria zindewalsh, mcgill university wald tests when restrictions are locally singular thursday, april 18, 2019 political economy. Salvatore ingrassia, yongdai kim, robert kohn, carlos lamarche, degui li, wk li, yi li, zudi lu, geoff mclachlan, samuel mueller, marc paolella, tommaso proietti, artem. May 2020 comments welcome 1this manuscript may be printed and reproduced for individual or instructional use, but may not be printed for commercial purposes. Eco 703 introduction to econometrics i department of.
Pdf on bootstrap inference for quantile regression panel. Common correlated effects estimation of heterogeneous dynamic. Persistence and regional disparities in unemployment. Contents list of figures page xv list of tables xvii preface xxi i preliminaries 1 overview 3 1. Econometrics and statistics vol 8, pages 1250 october 2018.
Lamarche contact information department of economics telephone. Documentation for quantile regression for panel data qrpd. A quantile regression approach for estimating panel data models using instrumental variables article in economics letters 1043. Effects, antonio galvao university of wisconsin milwaukee, carlos lamarche university of kentucky and luiz lima university of tennessee. This paper evaluates bootstrap inference methods for quantile regression panel data models. Iza institute of labor economics discussion paper 10942 robert paul hartley curriculum vitae, may 2019 1. The regression modeling technique helps a lot in this task. Quantile regression has gained its prominence in the statistics and econometrics literature because of its power in analyzing relationships that exhibit inherent heterogeneity. He is coeditor of the southern economic journal, associate editor of empirical economics, associate editor of econometrics, and received several research awards for his work on quantile regression. We provide conditions under which the slope parameter estimator is asymptotically gaussian. Sparsitybased estimation of a panel quantile count data model with applications to big data, matthew harding duke university and carlos lamarche. Quantile regression for dynamic panel data with fixed effects, journal of econometrics, 164, 142157, 2011.
Robust penalized quantile regression estimation for panel data. Econometrics free fulltext econometrics best paper. Hansen 2000, 20201 university of wisconsin department of economics this revision. This page intentionally left blank master avanzato in. This paper proposes a quantile regression estimator for a panel data model with interactive effects potentially correlated with the independent variables.
Midwest econometrics group university of notre dame. Canadian economics association annual conference, mayjune 2019, banff new york camp econometrics xiv, april 2019, clayton midwest econometrics group, october 2018, madison canadian econometrics study group, october 2018, ottawa cireq conference recent advances in the method of moments, april 2018, montreal poster. Lamarche, carlos gatton college of business and economics. This paper proposes a penalized quantile regression estimator for panel data that explicitly considers individual heterogeneity associated with the covariates. Common correlated effects estimation of heterogeneous. This cited by count includes citations to the following articles in scholar. We conduct monte carlo simulations to assess the small. Entry and bidding in common and private values in auctions with an unknownnumber of rivals, with d. Estimation of censored quantile regression for panel data with fixed e. First, the bootstrap samples are constructed by resampling only from crosssectional units with. Econometrics chapter 1 introduction to econometrics shalabh, iit kanpur 5 econometrics and regression analysis. He is an econometrician who conducts research on theoretical. Penalized quantile regression with semiparametric correlated. Estimating and testing a quantile regression model with.
We provide conditions under which the estimator is asymptotically unbiased and gaussian, thus. One of the very important roles of econometrics is to provide the tools for modeling on the basis of given data. Estimation of censored quantile regression for panel data. Quantiles of the gain distribution of an early child intervention erich battistin, carlos lamarche, enrico rettore.
Estimation of a factoraugmented linear panel data model. Robust penalized quantile regression estimator for panel data, journal of econometrics 157 2010. Quantile regression for timeseriescrosssection data. Standard available methods are not appropriate for estimation of a censored. Department of economics illinois econometrics alumni conference ii april 19th, 20 morgancaterpillar room, funk library aces library. Eleonora granziera nested forecast model comparisons. Carlos lamarche is gatton endowed professor of economics at the university of kentucky. A quantile regression approach for estimating panel data. Flores california polytechnic state university at san luis obispo, alfonso floreslagunes syracuse university. Formerly he has been an assistant professor and chong k. Monte carlo studies are carried out to study the small sample behavior of the proposed approach. Computational and methodological statistics cmstatistics. We propose to construct confidence intervals for the parameters of interest using percentile bootstrap with pairwise resampling. Marcus alexander, department of government, harvard kennedy school and institute for quantitative social science, harvard university.
Programme and abstracts 1st international conference on. The ecosta reception will take place on thursday, th december 2018, 19. Carlos lamarche, department of economics, university of kentucky, us. Pdf wild bootstrap inference for penalized quantile. Econometrics has had a distinguished start publishing over 92 articles since 20, with 76,475 downloads. Conference on advances in econometrics cosponsored by vanderbilt department of economics and cemmap, university college london friday, october 11, 2019 sarratt student center 216220. The human cost of economic crises weatherhead center. To mark the quality of the published articles i am pleased to announce the inauguration of the annual econometrics award for the best article of the year, starting with articles published in 2015. Carlos lamarche, department of economics, university of kentucky, 223g gatton college of business and economics, lexington. Revised and resubmitted, journal of political economy. He is an econometrician who conducts research on theoretical and applied econometrics. We first show that the pairs bootstrap that samples crosssectional units with replacement does not approximate well the limiting distribution of the penalized estimator. Robert paul hartley curriculum vitae columbia school of.
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