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英文文献：Reconsideration of a simple approach to quantile regression for panel data-重新考虑面板数据分位数回归的简单方法
英文文献作者：Galina Besstremyannaya,Sergei Golovan
英文文献摘要：
The note discusses a fallacy in the approach proposed by Ivan Canay (2011, The Econometrics Journal) for constructing a computationally simple two-step estimator in a quantile regression model with quantile-independent fixed effects. We formally prove that the estimator gives an incorrect inference for the constant term due to violation of the assumption about additive expansion of the first-step estimator, which requires the independence of its terms. Our simulations show that Canay's confidence intervals for the constant term are wrong. Finally, we focus on the fact that finding a sqrt(nT) consistent within estimator, as required by Canay's procedure, may be problematic. We provide an example of a model, for which we formally prove the non-existence of such an estimator.
该注释讨论了伊万?卡奈(Ivan Canay, 2011，《计量经济学杂志》)提出的方法中的一个谬误，该方法在具有定量独立固定效应的分位数回归模型中构造一个计算简单的两步估计量。正式证明了该估计量由于违反了第一步估计量的可加展开性假设而对常数项给出了错误的推论，该假设要求第一步估计量的项必须是独立的。我们的模拟表明，Canay对常数项的置信区间是错误的。最后，我们关注这样一个事实:根据Canay的过程，在估计器中找到一个sqrt(nT)一致可能会有问题。本文给出了一个模型的例子，正式证明了该估计量的不存在性。
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