Quantile regression with nonadditive fixed effects

This paper introduces a quantile regression estimator for panel data (QRPD) with nonadditive fixed effects, maintaining the nonseparable disturbance term commonly associated with quantile estimation. QRPD estimates the impact of exogenous or endogenous treatment variables on the outcome distribution using “within” variation in the instruments for identification purposes. Most quantile panel data estimators include additive fixed effects which separates the disturbance term and assumes the parameters vary based only on the time-varying components of the disturbance term. QRPD produces consistent estimates for small T. I estimate the effect of the 2008 tax rebates on the short-term household consumption distribution.