方法证据记录
Panel Quantile-on-Quantile Regression
Panel quantile-on-quantile (QQ) regression jointly maps any quantile of the outcome distribution onto any quantile of the predictor distribution across multiple cross-sectional units observed over time. It generalises Sim and Zhou's (2015) cross-sectional QQ framework to a panel setting, revealing a full dependence surface rather than a single average effect, while accounting for individual heterogeneity through fixed or random effects correction.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Panel Quantile-on-Quantile Regression
分类方法记录 · regression-model / econometrics
- Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1-8. · DOI 10.1016/j.jbankfin.2015.01.013
- Koenker, R., & Bassett, G. (1978). Regression quantiles. Econometrica, 46(1), 33-50. · DOI 10.2307/1913643
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