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
Panel Data - Quantile Regression
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Panel Data - Quantile Regression
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
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?
and add them as variables in my panel set later on
would my estimation be correct?
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Panel Data - Quantile Regression
That question is impossible to answer.
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Re: Panel Data - Quantile Regression
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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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13315
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Panel Data - Quantile Regression
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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