Arbeitspapier
Network and panel quantile effects via distribution regression
This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete outcome variables. The method is based upon projection of simultaneous confidence bands for distribution functions constructed from fixed effects distribution regression estimators. These fixed effects estimators are debiased to deal with the incidental parameter problem. Under asymptotic sequences where both dimensions of the data set grow at the same rate, the confidence bands for the quantile functions and effects have correct joint coverage in large samples. An empirical application to gravity models of trade illustrates the applicability of the methods to network data.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP27/20
- Klassifikation
-
Wirtschaft
- Thema
-
Quantile Effects
Counterfactual Distributions
Fixed Effects
Incidental Parameter Problem
Long Panels
Nichtlineare Regression
Panel
Fixed-Effects-Modell
Bootstrap-Verfahren
Gravitationsmodell
Außenhandel
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chernozhukov, Victor
Fernández-Val, Iván
Weidner, Martin
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2020
- DOI
-
doi:10.1920/wp.cem.2020.2720
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chernozhukov, Victor
- Fernández-Val, Iván
- Weidner, Martin
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2020
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