政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/52284

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政大典藏 > College of Social Science > Department of Economics > NSC Projects > Item 140.119/52284

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/52284

Title:	追蹤資料的分量迴歸分析之內生性問題
Other Titles:	Endogeneity in Panel Data Quantile Regression
Authors:	林馨怡
Contributors:	行政院國家科學委員會國立政治大學經濟學系
Keywords:	經濟學 control function;endogeneity;panel data;quantile regression
Date:	2012-10
Issue Date:	2011-11-28 15:52:22 (UTC+8)
Abstract:	This project develops a two-stage estimation of a panel data quantile regression model with endogenous explanatory variable. The regressors in the model include a lagged endogenous dependent variable and other explanatory variables, that are correlated withthe fixed effects. In the estimation, the control function approach is used, and a penalized quantile regression method for panel data is applied in the second stage. The Monte Carlo simulation shows that the proposed estimation effectively reduces the endogenous bias and performs better than other estimators in finite samples.
Relation:	基礎研究學術補助研究期間:10008~ 10107 研究經費:414仟元
Source URI:	http://grbsearch.stpi.narl.org.tw/GRB/result.jsp?id=1928717&plan_no=NSC100-2410-H004-071&plan_year=100&projkey=PF10006-0844&target=plan&highStr=*&check=0&pnchDesc=%E8%BF%BD%E8%B9%A4%E8%B3%87%E6%96%99%E7%9A%84%E5%88%86%E9%87%8F%E8%BF%B4%E6%AD%B8%E5%88%86%E6%9E%90%E4%B9%8B%E5%85%A7%E7%94%9F%E6%80%A7%E5%95%8F%E9%A1%8C
Data Type:	report
Appears in Collections:	[Department of Economics] NSC Projects

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