This paper analyzes two econometric tools that are used to evaluate distributional effects, condi-tional quantile regression (CQR) and unconditional quantile regression (UQR). Our main objectiveis to shed light on the ...

We propose to smooth the entire objective function rather than only the check function in a linear quantile regression context. We derive a uniform Bahadur-Kiefer representation for the resulting convolution-type kernel ...

We propose to smooth the entire objective function rather than only the check function in a linear quantile regression context. We derive a uniform Bahadur-Kiefer representation for the resulting convolution-type kernel ...

This chapter studies estimation and inference methods for multi-dimensional quantile regression panel data models. First, we discuss the fixed effects (FE) model. This model imposes a relatively restrictive asymptotic ...

This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests (also called backtests) ...