Unconditional quantile partial effects via conditional quantile regression

Javier Alejo, Antonio Galvao, Julian Martinez-Iriarte and Gabriel Montes-Rojas

Journal of Econometrics, 2025, vol. 249, issue PA

Abstract: This paper develops a semi-parametric procedure for estimation of unconditional quantile partial effects using quantile regression coefficients. The estimator is based on an identification result showing that, for continuous covariates, unconditional quantile effects are a weighted average of conditional ones at particular quantile levels that depend on the covariates. We propose a two-step estimator for the unconditional effects where in the first step one estimates a structural quantile regression model, and in the second step a nonparametric regression is applied to the first step coefficients. We establish the asymptotic properties of the estimator, say consistency and asymptotic normality. Monte Carlo simulations show numerical evidence that the estimator has very good finite sample performance and is robust to the selection of bandwidth and kernel. To illustrate the proposed method, we study the canonical application of the Engel’s curve, i.e. food expenditures as a share of income.

Keywords: Quantile regression; Unconditional quantile regression; Nonparametric regression (search for similar items in EconPapers)
JEL-codes: C14 C21 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407624000241
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Unconditional Quantile Partial Effects via Conditional Quantile Regression (2023)
Working Paper: Unconditional Quantile Partial Effects via Conditional Quantile Regression (2023)
Working Paper: Unconditional Quantile Partial Effects via Conditional Quantile Regression (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:249:y:2025:i:pa:s0304407624000241

DOI: 10.1016/j.jeconom.2024.105678

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().