Unconditional Quantile Regressions

• 成果类型: Article
• 署名作者: Firpo, Sergio; Fortin, Nicole M.; Lemieux, Thomas
• 署名单位: Getulio Vargas Foundation; Canadian Institute for Advanced Research (CIFAR); University of British Columbia
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA6822
• 发表日期: 2009
• 页码: 953-973
• 关键词: wage inequality; unions

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.