Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/305704 
Year of Publication: 
2024
Series/Report no.: 
IZA Discussion Papers No. 17262
Publisher: 
Institute of Labor Economics (IZA), Bonn
Abstract: 
This paper proposes a new method to estimate quantile regressions with multiple fixed effects. The method, which expands on the strategy proposed by Machado and Santos Silva (2019), allows for the inclusion of multiple fixed effects and provides various alternatives for estimating standard errors. We provide Monte Carlo simulations to show the finite sample properties of the proposed method in the presence of two sets of fixed effects. Finally, we apply the proposed method to two different examples using macroeconomic and microeconomic data and allowing for multiple fixed effects with robust results.
Subjects: 
fixed effects
linear heteroskedasticity
location-scale model
JEL: 
C21
C22
C23
Document Type: 
Working Paper

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