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Unconditional Quantile Regressions
Author(s) -
Firpo Sergio,
Fortin Nicole M.,
Lemieux Thomas
Publication year - 2009
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.3982/ecta6822
Subject(s) - quantile , quantile regression , econometrics , mathematics , statistics , quantile function , marginal distribution , variable (mathematics) , distribution (mathematics) , random variable , cumulative distribution function , probability density function , mathematical analysis
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.