Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/278734 
Year of Publication: 
2023
Series/Report no.: 
Ruhr Economic Papers No. 1041
Publisher: 
RWI - Leibniz-Institut für Wirtschaftsforschung, Essen
Abstract: 
This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting distribution under joint N, T asymptotics with restrictions on the relative rate at which N and T go to infinity. A finitesample correction improves the applicability of the test for panels with larger N. An empirical application to housing markets illustrates the use of the proposed cross-sectional dependence test.
Subjects: 
Cross-unit correlation
conditional quantile
factor model
exogeneity
JEL: 
C12
C23
Persistent Identifier of the first edition: 
ISBN: 
978-3-96973-210-6
Document Type: 
Working Paper

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