centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre


Keep in touch

Subscribe to cemmap news

Nonlinear panel data estimation via quantile regressions

Authors: Manuel Arellano and St├ęphane Bonhomme
Date: 15 July 2015
Type: cemmap Working Paper, CWP40/15
DOI: 10.1920/wp.cem.2015.4015


We introduce a class of quantile regression estimators for short panels. Our framework covers static and dynamic autoregressive models, models with general predetermined regressors, and models with multiple individual effects. We use quantile regression as a flexible tool to model the relationships between outcomes, covariates, and heterogeneity. We develop an iterative simulation-based approach for estimation, which exploits the computational simplicity of ordinary quantile regression in each iteration step. Finally, an application to measure the effect of smoking during pregnancy on children’s birthweights completes the paper.

Download full version
Now published:
Manuel Arellano and St├ęphane Bonhomme June 2016, Nonlinear panel data estimation via quantile regressions, Journal article, Wiley Online Library

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us