Panel Data - Quantile Regression

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Panel Data - Quantile Regression

Postby tompan on Fri Jul 15, 2011 4:12 am

I have a panel data set and one of the options that appear is quantile regression.

would it be possible to let me know what exactly is EViews estimating in this case?

regards
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Re: Panel Data - Quantile Regression

Postby EViews Gareth on Fri Jul 15, 2011 8:03 am

It is estimating a standard quantile regression on the stacked data, with the exception that any lags you have will not cut across cross-sections. Assuming you have no lags, it will give identical results to performing quantile regression without the panel structure. I.e. the estimation has nothing "panel" about it.
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Re: Panel Data - Quantile Regression

Postby tompan on Fri Jul 15, 2011 8:17 am

If i created the lags of the variables i want to include in my model in excel
and add them as variables in my panel set later on
would my estimation be correct?
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Re: Panel Data - Quantile Regression

Postby EViews Gareth on Fri Jul 15, 2011 8:23 am

That question is impossible to answer.
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Re: Panel Data - Quantile Regression

Postby theodore04 on Fri Jul 15, 2011 8:34 am

so is it performing a cross section quantile regression irrespective of the cross section and the time dimension?



EViews Gareth wrote:It is estimating a standard quantile regression on the stacked data, with the exception that any lags you have will not cut across cross-sections. Assuming you have no lags, it will give identical results to performing quantile regression without the panel structure. I.e. the estimation has nothing "panel" about it.
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Re: Panel Data - Quantile Regression

Postby EViews Gareth on Fri Jul 15, 2011 8:42 am

Sort of. If you have no dynamics in your equation (i.e. no lags), then yes, you can think of it as one big cross-section quantile regression.
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