Panel Data - Quantile Regression

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tompan
Posts: 6
Joined: Mon Jul 11, 2011 7:40 am

Panel Data - Quantile Regression

Postby tompan » 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

EViews Gareth
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Re: Panel Data - Quantile Regression

Postby EViews Gareth » 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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tompan
Posts: 6
Joined: Mon Jul 11, 2011 7:40 am

Re: Panel Data - Quantile Regression

Postby tompan » 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?

EViews Gareth
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Re: Panel Data - Quantile Regression

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

That question is impossible to answer.
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theodore04
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Re: Panel Data - Quantile Regression

Postby theodore04 » 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.

EViews Gareth
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Re: Panel Data - Quantile Regression

Postby EViews Gareth » 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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