STRUCTURAL QUANTILE INFERENCE IN DYNAMIC PANEL DATA: ASYMPTOTIC AND DISTRIBUTIONAL PROPERTIES OF AN EXTENDED TWO-STAGE ESTIMATOR UNDER FIXED \(T\) AND LARGE \(N\)
In quantile regression for dynamic panel data (QRDPD), lagged dependent variables are the principal source of endogeneity and estimation bias. This paper develops the theoretical foundations of an extended two-stage quantile regression for dynamic panel data (ETSQRDPD) estimator that attenuates endogeneity-induced bias...