Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns
نویسندگان
چکیده
منابع مشابه
Instrumental Variables Quantile Regression for Panel Data with Measurement Errors∗
This paper develops an instrumental variables estimator for quantile regression in panel data with fixed effects. Asymptotic properties of the instrumental variables estimator are studied for large N and T when Na/T → 0, for some a > 0. Wald and Kolmogorov-Smirnov type tests for general linear restrictions are developed. The estimator is applied to the problem of measurement errors in variables...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3028488