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The Econometrics Journal Econometrics Journal (2011), volume 14, pp. 368–386. doi: 10.1111/j.1368-423X.2011.00349.x A simple approach to quantile regression for panel data IVAN A. CANAY † †Department of Economics, Northwestern University, 2001 Sheridan Rd, Evanston, IL 60208, USA. E-mail: iacanay@northwestern.edu First version received: May 2010; final version accepted: April 2011 Summary This paper provides a set of sufficient conditions that point identify a quantile regression model with fixed effects. It also proposes a simple transformation of the data that gets rid of the fixed effects under the assumption that these effects are location shifters. The new estimator is consistent and asymptotically normal as both n and T grow. Keywords: Deconvolution, Panel data models, Quantile regression, Two-step estimator. 1. INTRODUCTION Panel data models and quantile regression models are both widely used in applied econometrics and popular topics of research in theoretical papers. Quantile regression models allow the researcher to account for unobserved heterogeneity and heterogeneous covariates effects, while the availability of panel data potentially allows the researcher to include fixed effects to control for some unobserved covariates. There has been little but growing work at the intersection of these two methodologies (e.g. Koenker, 2004, Geraci and Bottai, 2007, Abrevaya and Dahl, 2008, Galvao, 2008, Rosen, 2009, and Lamarche, 2010). This initial lack of attention is possibly due to a fundamental issue associated with conditional quantiles. This is, as it is the case with non-linear