Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation...

This paper proposes an ℓ1 penalized quantile regression estimator which adapts the Hausman–Taylor instrumental variable approach in order to address the bias resulting from the shrinkage of the individual effects.

Unconditional quantile treatment effects are difficult to estimate in the presence of fixed effects. Panel data are frequently used because fixed effects or differences are necessary to identify the parameters of interest. The inclusion of fixed effects or differencing of data, however,...

We present a methodology for estimating the distributional effects of an endogenous treatment that varies at the group level when there are group-level unobservables, a quantile extension of Hausman and Taylor (1981). Standard quantile regression techniques are inconsistent in this setting, even...

Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation...

Econometrics is the area of statistics concerned in analyzing economic data, for both economic and business applications. This document, introduces the intermediate concepts of this area, for students already familiarized with basic econometric theory. In particular, topics concerning...

I introduce a technique to estimate parameters in regressions with reduced rank parameters in a general setting. The framework can handle a general class of parameter restrictions and allows for specifications with heteroskedastic and autocorrelated regression errors. Applications of this...

We explore the effect of cross-sectional aggregation of data on estimation and test of asymmetric retail fuel price responses to wholesale price shocks. The analysis is performed on data collected daily from individual fuel stations in the Spanish metropolitan areas of Madrid and Barcelona....

This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level it provides a flexible approach to the modelling of interactions...