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
Luca Merlo
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2021-01-01
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 in questo prodotto:
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