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Open access 2026

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...

H. Ahmed · 0 citations
Open access Oct 2026

Structural Inference for Dynamic Panel Quantile Regression: Asymptotic Theory of a Two-Stage Estimator Using a Single Lagged-Difference Instrument

In dynamic panel quantile regression, the lagged dependent variable is the principal source of endogeneity. This paper develops the theory of a two-stage quantile estimator (TSQRDPD) for the first-order dynamic panel model, instrumenting the endogenous lag with its own lagged first difference. The instrument is generat...

H. Ahmed · 0 citations
Review Open access Aug 2026

QUANTILE REGRESSION: A REVIEW OF METHODOLOGICAL ADVANCES IN LINEAR, BAYESIAN, PANEL DATA, AND MEASUREMENT ERROR MODELS

Quantile regression (QR) has become a central tool for modelling heterogeneous covariate effects across the entire conditional distribution of a response, offering clear advantages over mean-based regression when data exhibit skewness, heavy tails, or heteroscedasticity. The methodological literature has grown rapidly...

Aya Afify, H. Ahmed · 0 citations

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