WHAT DO QUANTILE REGRESSIONS IDENTIFY FOR GENERAL STRUCTURAL FUNCTIONS?

Yuya Sasaki

Econometric Theory, 2015, vol. 31, issue 5, 1102-1116

Abstract: This paper shows what quantile regressions identify for general structural functions. Under fairly mild conditions, the quantile partial derivative identifies a weighted average of heterogeneous structural partial effects among the subpopulation of individuals at the conditional quantile of interest. This result justifies the use of quantile regressions as means of measuring heterogeneous causal effects for a general class of structural functions with multiple unobservables.

Date: 2015
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