The incidental parameter problem in a non-differentiable panel data model |
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| Authors: | Bryan S. Graham Jinyong Hahn James L. Powell |
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| Affiliation: | aDepartment of Economics, University of California–Berkeley, Berkeley, CA 94720–3880, United States;bDepartment of Economics, UCLA, Mail Stop: 147703, Los Angeles, CA 90095, United States |
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| Abstract: | We consider a panel quantile model with fixed effects. It is shown that the maximum likelihood estimator is numerically equivalent to the least absolute deviations estimator of the differenced model, and as a consequence, there is no incidental parameter problem. |
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| Keywords: | Panel Quantile Incidental parameter problem |
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