Quantiles via moments

By J. Machado, J.M.C. Santos Silva. Journal of Econometrics, 2019

2,135 citations recorded by the source corpus.

Abstract We study the conditions under which it is possible to estimate regression quantiles by estimating conditional means. The advantage of this approach is that it allows the use of methods that are only valid in the estimation of conditional means, while still providing information on how the regressors affect the entire conditional distribution. The methods we propose are not meant to replace the well-established quantile regression estimator, but provide an additional tool that can allow the estimation of regression quantiles in settings where otherwise that would be difficult or even impossible. We consider two settings in which our approach can be particularly useful: panel data models with individual effects and models with endogenous explanatory variables. Besides presenting the estimator and establishing the regularity conditions needed for valid inference, we perform a small simulation experiment, present two simple illustrative applications, and discuss possible extensions.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/b44eaa854ac6f4278e5b7f62d7960393279931d0

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In Economics and Econometrics

1. Arshian Sharif
2. Asif Razzaq
3. Ahsan Anwar
4. Avik Sinha
5. Fengsheng Chien
6. Ching-Chih Hsu
7. Haider Malik
8. H. An

In Statistics and Probability

1. Ching-Chih Hsu
2. Fengsheng Chien
3. Ahsan Anwar
4. Avik Sinha
5. Asif Razzaq
6. Arshian Sharif

Citations in the corpus

• Quantile regression with nonadditive fixed effects (2022, neutral): “…data estimators with additive fixed effects, including Koenker (2004), Harding and Lamarche (2009), Lamarche (2010), Canay (2011), Besstremyannaya and Golovan (2019), Galvao (2011), Ponomareva (2011), Kato et al. (2012), Rosen (2012), Galvao and Wang (2015), and Machado and Santos Silva (2019).”
• Asymmetric impact of fiscal decentralization and environmental innovation on carbon emissions: Evidence from highly decentralized countries (2021, methodology): “In contrast to former studies, this study draws this link using a novel Method of Moments Quantile Regression proposed by Machado and Silva.(40) This study constructs and uses a composite index of fiscal decentralization (CD) to integrate the cumulative effect of revenue and expenditure decentraliza”
• The role of information and communication technology in encountering environmental degradation: Proposing an SDG framework for the BRICS countries (2021, methodology): “Uit is distributed identically and independently for individuals (i) through time (t), symmetrical to Wit and standardized to fulfill the conditions of movement in Machado and Silva (2019). Eq.”