University of Illinois Urbana-Champaign

Essays on Quantile Regression for Dynamic Panel Data Models

Galvao, Antonio Fialho, Jr

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Description

Title
Essays on Quantile Regression for Dynamic Panel Data Models
Author(s)
Galvao, Antonio Fialho, Jr
Issue Date
2009
Doctoral Committee Chair(s)
Koenker, Roger W.
Department of Study
Economics
Discipline
Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Theory
Language
eng
Abstract
The third chapter develops penalized quantile regression methods for dynamic panel data with fixed effects. We consider a penalized strategy designed to improve the properties of the dynamic panel data quantile regression instrumental variables estimator. The penalty involves l1 shrinkage of the fixed effects. We discuss a tuning parameter selector based on the Schwartz information criterion, and propose a bootstrap resampling procedure for constructing confidence intervals for the parameters of interest. Monte Carlo simulations illustrate the dramatic improvement in the performance of the proposed estimator compared with the fixed effects quantile regression instrumental variables estimator. Finally, we provide an application to the partial adjustment toward target capital structures. The results show evidence that there is substantial heterogeneity in the speed of adjustment among firms.
Graduation Semester
2009
Type of Resource
text
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http://hdl.handle.net/2142/85598

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