Home > Other Scientific Research Area > Other > Volume-5 > Issue-6 > A Two-Stage Estimator of Instrumental Variable Quantile Regression for Panel Data with Time-Invariant Effects

A Two-Stage Estimator of Instrumental Variable Quantile Regression for Panel Data with Time-Invariant Effects

Call for Papers

Volume-8 | Advancing Multidisciplinary Research and Analysis - Exploring Innovations

Last date : 28-Mar-2024

Best International Journal
Open Access | Peer Reviewed | Best International Journal | Indexing & IF | 24*7 Support | Dedicated Qualified Team | Rapid Publication Process | International Editor, Reviewer Board | Attractive User Interface with Easy Navigation

Journal Type : Open Access

First Update : Within 7 Days after submittion

Submit Paper Online

For Author

Research Area


A Two-Stage Estimator of Instrumental Variable Quantile Regression for Panel Data with Time-Invariant Effects


Tao Li



Tao Li "A Two-Stage Estimator of Instrumental Variable Quantile Regression for Panel Data with Time-Invariant Effects" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Volume-5 | Issue-6, October 2021, pp.1757-1762, URL: https://www.ijtsrd.com/papers/ijtsrd47716.pdf

This paper proposes a two-stage instrumental variable quantile regression (2S-IVQR) estimation to estimate the time-invariant effects in panel data model. In the first stage, we introduce the dummy variables to represent the time-invariant effects, and use quantile regression to estimate effects of individual covariates. The advantage of the first stage is that it can reduce calculations and the number of estimation parameters. Then in the second stage, we adapt instrument variables approach and 2SLS method. In addition, we present a proof of 2S-IVQR estimator's large sample properties. Monte Carlo simulation study shows that with increasing sample size, the Bias and RMSE of our estimator are decreased. Besides, our estimator has lower Bias and RMSE than those of the other two estimators.

Time-invariant effects; Panel data; Quantile regression; Instrument variables


IJTSRD47716
Volume-5 | Issue-6, October 2021
1757-1762
IJTSRD | www.ijtsrd.com | E-ISSN 2456-6470
Copyright © 2019 by author(s) and International Journal of Trend in Scientific Research and Development Journal. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (CC BY 4.0) (http://creativecommons.org/licenses/by/4.0)

International Journal of Trend in Scientific Research and Development - IJTSRD having online ISSN 2456-6470. IJTSRD is a leading Open Access, Peer-Reviewed International Journal which provides rapid publication of your research articles and aims to promote the theory and practice along with knowledge sharing between researchers, developers, engineers, students, and practitioners working in and around the world in many areas like Sciences, Technology, Innovation, Engineering, Agriculture, Management and many more and it is recommended by all Universities, review articles and short communications in all subjects. IJTSRD running an International Journal who are proving quality publication of peer reviewed and refereed international journals from diverse fields that emphasizes new research, development and their applications. IJTSRD provides an online access to exchange your research work, technical notes & surveying results among professionals throughout the world in e-journals. IJTSRD is a fastest growing and dynamic professional organization. The aim of this organization is to provide access not only to world class research resources, but through its professionals aim to bring in a significant transformation in the real of open access journals and online publishing.

Thomson Reuters
Google Scholer
Academia.edu

ResearchBib
Scribd.com
archive

PdfSR
issuu
Slideshare

WorldJournalAlerts
Twitter
Linkedin