Interpreting Unconditional Quantile Regression with Conditional Independence
Econometrics
2021-10-07 v2
Abstract
This note provides additional interpretation for the counterfactual outcome distribution and corresponding unconditional quantile "effects" defined and estimated by Firpo, Fortin, and Lemieux (2009) and Chernozhukov, Fern\'andez-Val, and Melly (2013). With conditional independence of the policy variable of interest, these methods estimate the policy effect for certain types of policies, but not others. In particular, they estimate the effect of a policy change that itself satisfies conditional independence.
Keywords
Cite
@article{arxiv.2010.03606,
title = {Interpreting Unconditional Quantile Regression with Conditional Independence},
author = {David M. Kaplan},
journal= {arXiv preprint arXiv:2010.03606},
year = {2021}
}
Comments
The main result is essentially the same as Proposition 1 of Rothe (2010), https://doi.org/10.1016/j.jeconom.2009.09.001