@techreport{4717a96b19cb4693a52631d5fa4054c6,
title = "Cross-sectional error dependence in panel quantile regressions",
abstract = "This paper shows that cross-sectional dependence (CSD) is an indicator of misspecification in panel QR rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting distribution under joint N, T asymptotics with restrictions on the relative rate at which N and T go to infinity. A finite-sample correction improves the applicability of the test for panels with larger N. An empirical application illustrates the use of the proposed cross-sectional dependence test.",
keywords = "Cross-unit correlation, Conditional quantile, Factor model, Exogeneity",
author = "Matei Demetrescu and Mehdi Hosseinkouchack and Rodrigues, {Paulo M. M.}",
year = "2022",
month = oct,
language = "English",
publisher = "Banco de Portugal",
type = "WorkingPaper",
institution = "Banco de Portugal",
}