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Re: st: Quantile Regression with FE


From   Gordon Hughes <G.A.Hughes@ed.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Quantile Regression with FE
Date   Mon, 18 Feb 2013 10:07:12 +0000

You can apply the standard within transformation to your data manually by deducting the mean (or median) values of the dependent and independent variables for each panel unit from all observations. This will eliminate the panel fixed effects. You can recover the fixed effects in the usual way from the average or median values of the residuals for each panel unit.

However, you should think quite carefully about what it is that you are estimating. There is a substantial literature among those interested in quantile regression about what the precise meaning of the conditional quantiles generated by these models - for example read the textbooks by Cameron & Trivedi or Wooldridge. By removing the fixed effects you would be estimating conditional median deviations from the mean/median values of the observed variables. This may or may not be what you are trying to obtain.

Gordon Hughes
g.a.hughes@ed.ac.uk
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