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Unconditional Quantile Regressions

Sergio Firpo, Nicole M. Fortin and Thomas Lemieux ()

Econometrica, 2009, vol. 77, issue 3, pages 953-973

Abstract: 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.

Date: 2009
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Working Paper: Unconditional Quantile Regressions (2007) Downloads
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