This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis …

In this paper, we propose two classes of test statistics for detecting a break at an unknown date in panel data models …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

This paper develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed … effects, allowing temporal correlation within each individual. The conventional QR standard errors can seriously underestimate …

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile … regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the … development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting …

This study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed … effects, allowing for temporal correlation within each individual. The conventional QR standard errors can seriously …