• 论文 •

### 固定效应部分线性单指数面板模型的惩罚分位数回归

• 出版日期:2017-02-15 发布日期:2017-03-01

### Penalized Quantile Regression for Partially Linear Single Index Panel Models with Fixed Effect

Ding Feipeng

• Online:2017-02-15 Published:2017-03-01

Abstract: Quantile regression is a useful supplement to mean regression. The method needn’t assume specification of distribution and is robust to outlie or heavy tail distribution of data. Most previous studies on partially linear single index models concentrated on mean regression. Based on this, this paper investigated quantile regression of partially linear single index panel models with fixed effect. We estimated the model based on the combination of B spline function, SCAD penalized function and reweighted least squares algorithm, and proved the consistence and asymptotic normality of estimators. Also, we evaluated the finite sample performance of the proposed method via Monte Carlo simulation. Furthermore, the proposed method is illustrated in factor analysis of carbon emissions.