A practitioner’s guide to panel data quantile regression
为应用研究者提供面板分位数模型的估计与推断实践指南，涵盖操作建议和示例，帮助解决实际应用中的挑战。
Quantile regression for panel data has become a common model of interest for econometricians and statisticians. The theoretical literature has addressed important questions, including identification, estimation, and statistical inference. Although recent advances have enabled practitioners to estimate flexible models under a wide range of assumptions, practical issues have not been fully addressed. In this paper, we offer a guide to empirical practice intended to help applied researchers navigate the challenges of estimation and inference for panel quantile models. We also present a series of practical recommendations and illustrations, emphasizing both “why” and the “how” to help researchers with the implementation of existing approaches.