Econometrica: May 2009, Volume 77, Issue 3

Unconditional Quantile Regressions

https://doi.org/10.3982/ECTA6822
p. 953-973

Sergio Firpo, Nicole M. Fortin, Thomas Lemieux

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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Supplemental Material

Supplement to "Unconditional Quantile Regressions"

This document provides detailed derivations of the asymptotic properties of the estimators proposed in Firpo, Fortin, and Lemieux (2007) to estimate the parameter defined as Unconditional Quantile Partial Effects (UQPE).

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Supplement to "Unconditional Quantile Regressions"

This zip file contains a readme.txt file explaining the contents of the zip file, a data file in STATA10 and 22 programs in STATA10.

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