The incidental parameter problem in a non-differentiable panel data model

C-Tier
Journal: Economics Letters
Year: 2009
Volume: 105
Issue: 2
Pages: 181-182

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We consider a panel quantile model with fixed effects. It is shown that the maximum likelihood estimator is numerically equivalent to the least absolute deviations estimator of the differenced model, and as a consequence, there is no incidental parameter problem.

Technical Details

RePEc Handle
repec:eee:ecolet:v:105:y:2009:i:2:p:181-182
Journal Field
General
Author Count
3
Added to Database
2026-01-25