WHAT DO QUANTILE REGRESSIONS IDENTIFY FOR GENERAL STRUCTURAL FUNCTIONS?

This paper shows what quantile regressions identify for general structural functions. Under fairly mild conditions, the quantile partial derivative identifies a weighted average of heterogeneous structural partial effects among the subpopulation of individuals at the conditional quantile of interest...

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Bibliographic Details
Published inEconometric theory Vol. 31; no. 5; pp. 1102 - 1116
Main Author Sasaki, Yuya
Format Journal Article
LanguageEnglish
Published New York, USA Cambridge University Press 01.10.2015
Subjects
Econometrics
Studies
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Summary:This paper shows what quantile regressions identify for general structural functions. Under fairly mild conditions, the quantile partial derivative identifies a weighted average of heterogeneous structural partial effects among the subpopulation of individuals at the conditional quantile of interest. This result justifies the use of quantile regressions as means of measuring heterogeneous causal effects for a general class of structural functions with multiple unobservables.
ISSN:0266-4666
1469-4360
DOI:10.1017/S0266466614000711