The incidental parameter problem in a non-differentiable panel data model

Economics Letters

Volumn 105, Issue 2, 2009, Pages 181-182

  Graham, Bryan S ^a   Hahn, Jinyong ^b   Powell, James L ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Incidental parameter problem; Panel; Quantile

Indexed keywords

EID: 70349140476     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2009.07.015     Document Type: Article

References (2)

1. Honoré B.E. Trimmed lad and least squares estimation of truncated and censored regression models with fixed effects. Econometrica 60 3 (1992) 533-565
2. Neyman J., and Scott E.L. Consistent estimation from partially consistent observations. Econometrica 16 1 (1948) 1-32