A Hybrid MCMC Sampler for Unconditional Quantile Based on Influence Function

El Moctar Laghlal and Abdoul Aziz Junior Ndoye
Additional contact information
El Moctar Laghlal: Laboratoire d’Économie d’Orléans (LEO), Faculté de Droit, D’économie et de Gestion, University of Orleans, LEO (FRE CNRS 2014), Rue de Blois, F-45067 Orleans, France
Abdoul Aziz Junior Ndoye: Laboratoire d’Économie d’Orléans (LEO), Faculté de Droit, D’économie et de Gestion, University of Orleans, LEO (FRE CNRS 2014), Rue de Blois, F-45067 Orleans, France

Econometrics, 2018, vol. 6, issue 2, 1-11

Abstract: In this study, we provide a Bayesian estimation method for the unconditional quantile regression model based on the Re-centered Influence Function (RIF). The method makes use of the dichotomous structure of the RIF and estimates a non-linear probability model by a logistic regression using a Gibbs within a Metropolis-Hastings sampler. This approach performs better in the presence of heavy-tailed distributions. Applied to a nationally-representative household survey, the Senegal Poverty Monitoring Report (2005), the results show that the change in the rate of returns to education across quantiles is substantially lower at the primary level.

Keywords: hybrid MCMC sampler; quantile regression; influence function; return to education (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2225-1146/6/2/24/pdf (application/pdf)
https://www.mdpi.com/2225-1146/6/2/24/ (text/html)

Related works:
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:gam:jecnmx:v:6:y:2018:i:2:p:24-:d:144594

Access Statistics for this article

Econometrics is currently edited by Ms. Jasmine Liu

More articles in Econometrics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().