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RE: st: Quantile Regression with FE


From   Travis Smith <travisa.smith7@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Quantile Regression with FE
Date   Tue, 19 Feb 2013 17:31:16 -0600

qswanqui@utk.edu 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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