Harold D. Chiang

Bias Correction and Inference for Panel Quantile Regression

We develop a large-$n$, large-$T$ theory for the unsmoothed fixed-effects quantile regression estimator, paralleling Hahn and Newey (2004) for smooth nonlinear panel models. An exact rank-score identity for the profiled criterion, with a convexity argument, delivers the leading incidental parameter bias of the slope es...