Estimation and Inference for the $\tau$-Quantile of Individual Heterogeneous Coefficient (opens in new tab)

This paper proposes estimation and inference procedures for the quantiles of individual heterogeneous slope coefficients within panel data. We develop a two-step quantile estimation framework for analyzing heterogeneity in individual coefficients. Unlike conventional panel quantile regression, which focuses on outcome heterogeneity, our approach targets the $\tau$-quantile of the cross-sectional distribution of individual-specific slopes. We e...