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Unconditional quantile regressions
(Wiley-Blackwell Publishing, Inc, 2009-05)
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 ...
Conditional vs Unconditional Quantile Regression Models: A Guide to Practitioners
(Pontificia Universidad Católica del Perú, 2021)
Conditional vs Unconditional Quantile Regression Models: A Guide to Practitioners
(Pontificia Universidad Católica of Peru. Departamento de Economía, 2021-10)
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 ...
Distributional counterfactual analysis with (common) deterministic trend units
(2018-01)
The goal of this paper is to extend the counterfactual methodologies in particular Carvalho et al. (2016), by considering the estimation of quantile counterfactuals in the presence of trend units. We derive an asymptotically ...
Conditional vs Unconditional Quantile Regression Models: A Guide to Practitioners
(Pontificia Universidad Católica del PerúPE, 2022)
Smoothing quantile regressions
(2018-04-08)
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 ...
Smoothing quantile regressions
(2017)
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 ...
Multivariate Quantile Impulse Response Functions
(Wiley Blackwell Publishing, Inc, 2019-08)
A reduced form multivariate quantile autoregressive model is developed to study heterogeneity in the effects of macroeconomic shocks. This framework is used for forecasting and for constructing quantile impulse response ...
Multi-dimensional Panels in Quantile Regression Models
(Springer, 2017)
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 ...