Javier Alejo, Antonio F. Galvao, Julian Martinez-Iriarte, Gabriel Montes-Rojas
arXiv 18 Jan 2023 · Econometrics · publishedJournal of Econometrics (2024) · 8 citations (OpenAlex)
arXiv:2301.07241 · PDF · DOI · OpenAlex · Extracted main text
This paper develops a semi-parametric procedure for estimation of unconditional quantile partial effects using quantile regression coefficients. The estimator is based on an identification result showing that, for continuous covariates, unconditional quantile effects are a weighted average of conditional ones at particular quantile levels that depend on the covariates. We propose a two-step estimator for the unconditional effects where in the first step one estimates a structural quantile regression model, and in the second step a nonparametric regression is applied to the first step coefficients. We establish the asymptotic properties of the estimator, say consistency and asymptotic normality. Monte Carlo simulations show numerical evidence that the estimator has very good finite sample performance and is robust to the selection of bandwidth and kernel. To illustrate the proposed method, we study the canonical application of the Engel's curve, i.e. food expenditures as a share of income.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Firpo, Fortin, and Lemieux (2009) Unconditional Quantile Regression | 1.000 | 15 | 4 | 100% |
| 2 | Chernozhukov, Fernández-Val, and Melly (2013) Inference on Counterfactual Distributions | 1.000 | 8 | 3 | 100% |
| 3 | Koenker (2005) Quantile Regression | 0.843 | 4 | 4 | 75% |
| 4 | Lee (2021) Nonparametric Weighted Average Quantile Derivative | 0.737 | 3 | 2 | 100% |
| 5 | Koenker and Bassett (1978) Regression Quantiles | 0.644 | 2 | 2 | 100% |
| 6 | Rothe (2010) Identification of Unconditional Partial Effects in Nonseparable Models | 0.644 | 2 | 2 | 100% |
| 7 | Martinez-Iriarte, Montes-Rojas, and Sun (2022) Unconditional Effects of General Policy Interventions | 0.644 | 2 | 2 | 100% |
| 8 | Angrist, Chernozhukov, and Fernández-Val (2006) Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure | 0.511 | 2 | 1 | 100% |
| 9 | Fortin, Lemieux, and Firpo (2011) Decomposition Methods in Economics | 0.511 | 2 | 1 | 100% |
| 10 | Koenker, Chernozhukov, He, and Peng (2020) Handbook of Quantile Regression | 0.511 | 2 | 1 | 100% |
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