{"paper":{"title":"Panel Quantile Regression with Common Shocks","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"The standard fixed-effects panel quantile regression estimator remains asymptotically normal under common shocks if (log N)^2/T goes to zero.","cross_cats":["stat.ME"],"primary_cat":"econ.EM","authors_text":"Antonio F. Galvao, Chia-Min Wei, Harold D. Chiang","submitted_at":"2026-02-22T14:06:35Z","abstract_excerpt":"This paper develops an asymptotic and inferential theory for fixed-effects panel quantile regression (FEQR) that delivers inference robust to pervasive common shocks. Such shocks induce cross-sectional dependence that is central in many economic and financial panels but largely ignored in existing FEQR theory, which typically assumes cross-sectional independence and requires $T \\gg N$. We show that the standard FEQR estimator remains asymptotically normal under the mild condition $(\\log N)^2/T \\to 0$, thereby accommodating empirically relevant regimes, including those with $T \\ll N$. We furthe"},"claims":{"count":4,"items":[{"kind":"strongest_claim","text":"We show that the standard FEQR estimator remains asymptotically normal under the mild condition (log N)^2/T → 0, thereby accommodating empirically relevant regimes, including those with T ≪ N. We further show that common shocks fundamentally alter the asymptotic covariance structure, rendering conventional covariance estimators inconsistent, and we propose a simple covariance estimator that remains consistent both in the presence and absence of common shocks.","source":"verdict.strongest_claim","status":"machine_extracted","claim_id":"C1","attestation":"unclaimed"},{"kind":"weakest_assumption","text":"The paper assumes that common shocks are pervasive yet the mild rate condition (log N)^2/T → 0 holds, along with standard regularity conditions on moments, quantiles, and the fixed-effects structure that are not detailed in the abstract but are required for the asymptotic normality and consistency claims to go through.","source":"verdict.weakest_assumption","status":"machine_extracted","claim_id":"C2","attestation":"unclaimed"},{"kind":"one_line_summary","text":"Standard FEQR estimator is asymptotically normal under (log N)^2/T to 0 with common shocks present, and a simple covariance estimator is consistent regardless of the shock structure.","source":"verdict.one_line_summary","status":"machine_extracted","claim_id":"C3","attestation":"unclaimed"},{"kind":"headline","text":"The standard fixed-effects panel quantile regression estimator remains asymptotically normal under common shocks if (log N)^2/T goes to zero.","source":"verdict.pith_extraction.headline","status":"machine_extracted","claim_id":"C4","attestation":"unclaimed"}],"snapshot_sha256":"2d7bfe187f3c57b67fdda1c782616959c521591eefe187bb7d86a45a8fc8e00f"},"source":{"id":"2602.19201","kind":"arxiv","version":3},"verdict":{"id":"d9f703fe-829e-44b7-a22b-aa4687e3bdc1","model_set":{"reader":"grok-4.3"},"created_at":"2026-05-15T20:55:02.323983Z","strongest_claim":"We show that the standard FEQR estimator remains asymptotically normal under the mild condition (log N)^2/T → 0, thereby accommodating empirically relevant regimes, including those with T ≪ N. We further show that common shocks fundamentally alter the asymptotic covariance structure, rendering conventional covariance estimators inconsistent, and we propose a simple covariance estimator that remains consistent both in the presence and absence of common shocks.","one_line_summary":"Standard FEQR estimator is asymptotically normal under (log N)^2/T to 0 with common shocks present, and a simple covariance estimator is consistent regardless of the shock structure.","pipeline_version":"pith-pipeline@v0.9.0","weakest_assumption":"The paper assumes that common shocks are pervasive yet the mild rate condition (log N)^2/T → 0 holds, along with standard regularity conditions on moments, quantiles, and the fixed-effects structure that are not detailed in the abstract but are required for the asymptotic normality and consistency claims to go through.","pith_extraction_headline":"The standard fixed-effects panel quantile regression estimator remains asymptotically normal under common shocks if (log N)^2/T goes to zero."},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2602.19201/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":2,"snapshot_sha256":"49dd7adccc9613730fd2856486bdaf5550844e2a722422f0230f21bc019b2c13"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}