Unconditional Quantile Regressions

被引：1254
|
作者：
Firpo, Sergio [1 ]
Fortin, Nicole M. [2 ,3 ]
Lemieux, Thomas [3 ]
机构：
[1] Fundacao Getulio Vargas, Escola Econ Sao Paulo, BR-01332000 Sao Paulo, Brazil
[2] Canadian Inst Adv Res, Toronto, ON, Canada
[3] Univ British Columbia, Dept Econ, Vancouver, BC V6T 1Z1, Canada
来源：
ECONOMETRICA | 2009年 / 77卷 / 03期
关键词：
Influence functions; unconditional quantile; RIF regressions; quantile regressions; WAGE INEQUALITY; UNIONS;
D O I：
10.3982/ECTA6822
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页码：953 / 973
页数：21
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