Abstract This paper proposes tests for equality of the mean regression (MR) and quantile regression (QR) coefficients. The tests are based on the asymptotic joint distribution of the ordinary least squares and QR estimators. First, we formally derive the asymptotic joint distribution of these...

This paper derives tests for skewness and kurtosis for the panel data one-way error component model. The test statistics are based on the between and within transformations of the pooled OLS residuals, and are derived in a moment conditions framework. We establish the limiting distribution of...

This paper develops a new minimum distance quantile regression (MD-QR) estimator for panel data models with fixed effects. The proposed estimator is efficient in the class of minimum distance estimators. In addition, the MD-QR estimator is computationally fast, especially for large...