Gaussian Transforms Modeling and the Estimation of Distributional Regression Functions

Richard Spady and Sami Stouli

Papers from arXiv.org

Abstract: Conditional distribution functions are important statistical objects for the analysis of a wide class of problems in econometrics and statistics. We propose flexible Gaussian representations for conditional distribution functions and give a concave likelihood formulation for their global estimation. We obtain solutions that satisfy the monotonicity property of conditional distribution functions, including under general misspecification and in finite samples. A Lasso-type penalized version of the corresponding maximum likelihood estimator is given that expands the scope of our estimation analysis to models with sparsity. Inference and estimation results for conditional distribution, quantile and density functions implied by our representations are provided and illustrated with an empirical example and simulations.

Date: 2020-11
New Economics Papers: this item is included in nep-ecm and nep-ore
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