Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238885 
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 11 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-10
Publisher: 
MDPI, Basel
Abstract: 
This paper develops a nonparametric method to estimate a conditional quantile function for a panel data model with an additive individual fixed effects. The proposed method is easy to implement, it does not require numerical optimization and automatically ensures quantile monotonicity by construction. Monte Carlo simulations show that the proposed estimator performs well in finite samples.
Subjects: 
nonparametric method
conditional quantile function
panel data
JEL: 
C14
C21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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