{
  "abstract": "We develop a large-$n$, large-$T$ theory for the unsmoothed fixed-effects quantile regression estimator, paralleling Hahn and Newey (2004) for smooth nonlinear panel models. An exact rank-score identity for the profiled criterion, with a convexity argument, delivers the leading incidental parameter bias of the slope estimator, of order $T^{-1}$, in closed form. When $n$ and $T$ grow at the same rate, the estimator is asymptotically normal but in general not centred, and conventional intervals are invalid. Admissible growth of $n$ relative to $T$, up to $n=o(T^3)$, depends on the regularity of the conditional error densities. A split-panel jackknife removes the leading bias throughout this range and yields valid inference. In serially dependent panels whose dependence decays geometrically or polynomially, the bias acquires a term from the dependence between regressors and errors of different periods, the jackknife remains valid with contiguous but not with interleaved half-panels, and clustered standard errors are valid.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2610.36443",
  "author_total": 2,
  "authors": [
    {
      "name": "Harold D Chiang"
    },
    {
      "name": "Wei Biao Wu"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/3abvkqdrdh6ad.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2610.36443",
  "fulltext_url": null,
  "id": "3abvkqdrdh6ad",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2610.36443",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "econ.EM"
    ],
    [
      "arxiv",
      "math.ST"
    ],
    [
      "arxiv",
      "stat.TH"
    ],
    [
      "openalex",
      "2002|Spatial and Panel Data Analysis"
    ]
  ],
  "openalex": "W7224115584",
  "pdf_url": "https://arxiv.org/pdf/2610.36443",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-27",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/3abvkqdrdh6ad.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:35:53Z",
      "native_id": "2610.36443",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2610.36443"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.ST",
      "subfield": "statistics"
    }
  ],
  "title": "Bias Correction and Inference for Panel Quantile Regression",
  "title_text": "Bias Correction and Inference for Panel Quantile Regression",
  "type": "preprint",
  "updated_at": "2026-10-30T12:35:59Z",
  "url": "https://research.draconitic.com/paper/3abvkqdrdh6ad",
  "venue": "arXiv",
  "versions": []
}