Pith Number

pith:ZCEIIUZU

pith:2026:ZCEIIUZUMC2MTGUOBXFHC75U23

not attested not anchored not stored refs pending

Panel Quantile Regression with Common Shocks

Antonio F. Galvao, Chia-Min Wei, Harold D. Chiang

The standard fixed-effects panel quantile regression estimator remains asymptotically normal under common shocks if (log N)^2/T goes to zero.

arxiv:2602.19201 v3 · 2026-02-22 · econ.EM · stat.ME

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Claims

C1strongest 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.

C2weakest 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.

C3one 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.

Formal links

2 machine-checked theorem links

Receipt and verification

First computed	2026-06-19T16:09:55.289163Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

c88884533460b4c99a8e0dca717fb4d6daaf37f4c563711312d32736c580ddf8

Aliases

arxiv: 2602.19201 · arxiv_version: 2602.19201v3 · doi: 10.48550/arxiv.2602.19201 · pith_short_12: ZCEIIUZUMC2M · pith_short_16: ZCEIIUZUMC2MTGUO · pith_short_8: ZCEIIUZU

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Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/ZCEIIUZUMC2MTGUOBXFHC75U23 \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: c88884533460b4c99a8e0dca717fb4d6daaf37f4c563711312d32736c580ddf8

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "d597ef174d64715e793ed409159baee05089d664c1530df68ec4ee6a0ed69e6e",
    "cross_cats_sorted": [
      "stat.ME"
    ],
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "primary_cat": "econ.EM",
    "submitted_at": "2026-02-22T14:06:35Z",
    "title_canon_sha256": "be84ea953f841f04c1275de1ff668fe4d9d880d6cb223b6775fc01de23df19d8"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2602.19201",
    "kind": "arxiv",
    "version": 3
  }
}