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Quantile selection in non-linear GMM quantile models
(Elsevier, 2020-07-16)
This note proposes a non-linear GMM quantile regression model to estimate the quantile as an additional parameter. The limiting distribution is studied. An empirical application to an intertemporal consumption model built ...
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 ...
Conditional vs Unconditional Quantile Regression Models: A Guide to Practitioners
(Pontificia Universidad Católica del PerúPE, 2022)
A practical generalized propensity-score estimator for quantile continuous treatment effects
(Stata Press, 2020-06-19)
In this article, we present a new command, qcte, that implements several methods for estimation and inference for quantile treatment-effects models with a continuous treatment. We propose a semiparametric two-step estimator, ...
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 ...
Testing linearity against threshold effects: uniform inference in quantile regression
(Springer Heidelberg, 2014-04)
This paper develops a uniform test of linearity against threshold effects in the quantile regression framework. The test is based on the supremum of the Wald process over the space of quantile and threshold parameters. We ...