Unconditional Quantile Regressions
Nicole Fortin and
Thomas Lemieux ()
Econometrica, 2009, vol. 77, issue 3, 953-973
We propose a new regression method to evaluate the impact of changes in the distribution of the explanatory variables on quantiles of the unconditional (marginal) distribution of an outcome variable. The proposed method consists of running a regression of the (recentered) influence function (RIF) of the unconditional quantile on the explanatory variables. The influence function, a widely used tool in robust estimation, is easily computed for quantiles, as well as for other distributional statistics. Our approach, thus, can be readily generalized to other distributional statistics. Copyright 2009 The Econometric Society.
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (305) Track citations by RSS feed
Downloads: (external link)
http://hdl.handle.net/10.3982/ECTA6822 link to full text (text/html)
Access to full text is restricted to subscribers.
Working Paper: Unconditional Quantile Regressions (2007)
Working Paper: Unconditional Quantile Regressions (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ecm:emetrp:v:77:y:2009:i:3:p:953-973
Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues
Access Statistics for this article
Econometrica is currently edited by Daron Acemoglu
More articles in Econometrica from Econometric Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().