In this paper we develop the unconditional M-quantile regression for modeling unconditional M-quantiles in the presence of covariates. Extending the paper by Firpo et al. (2009), we assess the impact of small changes in the explanatory variables on the M-quantile of the unconditional distribution of the dependent variable by running a mean regression of the recentered influence function of the unconditional M-quantile on the covariates. The proposed methodology is applied on the Survey of Household Income and Wealth (SHIW) 2016 conducted by the Bank of Italy.
Unconditional M-quantile regression / Merlo, Luca; Petrella, Lea; Tzavidis, Nikos. - 128:(2021), pp. 163-166. (Intervento presentato al convegno CLADAG 2021 tenutosi a Firenze; Italy) [10.36253/978-88-5518-340-6].
Unconditional M-quantile regression
Luca Merlo
;Lea Petrella;
2021
Abstract
In this paper we develop the unconditional M-quantile regression for modeling unconditional M-quantiles in the presence of covariates. Extending the paper by Firpo et al. (2009), we assess the impact of small changes in the explanatory variables on the M-quantile of the unconditional distribution of the dependent variable by running a mean regression of the recentered influence function of the unconditional M-quantile on the covariates. The proposed methodology is applied on the Survey of Household Income and Wealth (SHIW) 2016 conducted by the Bank of Italy.| File | Dimensione | Formato | |
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