Panel quantile regression models play an important role in real applications of finance, econometrics, insurance and risk management. However, direct estimates of the extreme conditional quantiles may lead unstable results due to data sparsity on the tail regions. Moreover, the presence of...

We show that two prominent bootstrap tests for fund skill have distorted test sizes because many funds have short return records and skewed return residuals, and they lack test power to detect skilled funds when a substantial number of unskilled funds are present. We develop the theory for a...

This paper aims to identify the latent grouped heterogeneity of distributional effects. We consider two panel quantile regression models with additive fixed effects, where quantile slope coefficients differ across groups. The first model allows grouped and time fixed effects, and we propose a...