Dear researchers,
I have been trying to estimate a littlequantile regression with instrumental variables for panel data and I kept getting an error. I believe the error is from the input section. I intend to use the second lag of the covariates as the instrument. Pls can someone help with this.
Attached below is the code.
Here is information and an example of R function hqreg I've had good luck with it but have not implemented the quantile regression routine. Try it if you want to see if that works for you. Good luck, David Booth PS the Huber section works fine. This is meant as a teaching unit for a PhD statistics class.
This is what we did using panel quantile, which might be helpful.
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