{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,28]],"date-time":"2026-04-28T04:27:38Z","timestamp":1777350458517,"version":"3.51.4"},"reference-count":10,"publisher":"Oxford University Press (OUP)","issue":"3","license":[{"start":{"date-parts":[[2019,9,1]],"date-time":"2019-09-01T00:00:00Z","timestamp":1567296000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/academic.oup.com\/journals\/pages\/open_access\/funder_policies\/chorus\/standard_publication_model"}],"funder":[{"DOI":"10.13039\/501100007251","name":"HSE University","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100007251","id-type":"DOI","asserted-by":"publisher"}]},{"name":"Russian Academic Excellence Project","award":["5-100"],"award-info":[{"award-number":["5-100"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2019,9,1]]},"abstract":"<jats:title>Summary<\/jats:title>\n               <jats:p>This note discusses two errors in the approach proposed in\u00a0Canay (2011) for constructing a computationally simple two-step estimator in a quantile regression model with quantile-independent fixed effects. Firstly, we show that Canay\u2019s assumption about n\/Ts \u2192 0 for some s &amp;gt; 1 is not strong enough and can entail severe bias or even the non-existence of the limiting distribution for the estimator of the vector of coefficients. The condition n\/T \u2192 0 appears to be closer to the required set of restrictions. These problems are likely to cause incorrect inference in applied papers with large n\/T, but the impact is less in applications with small n\/T. In an attempt to improve Canay\u2019s estimator, we propose a simple correction that may reduce the bias. The second error concerns the incorrect asymptotic standard error of the estimator of the constant term. We show that, contrary to Canay\u2019s assumption, the within estimator has an influence function that is not i.i.d. and this affects inference. Moreover, the constant term is unlikely to be estimable at rate $\\sqrt{nT}$, so a different estimator may not be available. However, the issue concerning the constant term does not have an effect on slope coefficients. Finally, we give recommendations to practitioners and conduct a meta-review of applied papers that use Canay\u2019s estimator.<\/jats:p>","DOI":"10.1093\/ectj\/utz012","type":"journal-article","created":{"date-parts":[[2019,8,15]],"date-time":"2019-08-15T02:48:28Z","timestamp":1565837308000},"page":"292-308","source":"Crossref","is-referenced-by-count":19,"title":["Reconsideration of a simple approach to quantile regression for panel data"],"prefix":"10.1093","volume":"22","author":[{"given":"Galina","family":"Besstremyannaya","sequence":"first","affiliation":[{"name":"National Research University Higher School of Economics, International Laboratory for Macroeconomic Analysis, Shabolovka Street 26, Moscow, Russia, 119049"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sergei","family":"Golovan","sequence":"additional","affiliation":[{"name":"New Economic School, Skolkovskoe Shosse 45, Moscow, Russia, 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