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RE: st: Quantile Regression with FE
From
Travis Smith <[email protected]>
To
[email protected]
Subject
RE: st: Quantile Regression with FE
Date
Tue, 19 Feb 2013 17:31:16 -0600
[email protected] wrote:
> Some of you mentioned issues with FE in quantile regressions. Are the issues similar to the incidental parameters problem in logit/probit regressions with a small time series?
Depending on the model specification of your quantile regression, it
is possible that a small T is an issue. The Powell article and the
references discuss this issue.
Travis
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