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Quantile regression for duration models with time-varying regressors

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  • Chen, Songnian

Abstract

Since the seminal work of Koenker and Bassett (1978), quantile regression has become a widely used tool in duration analysis. The existing literature, however, has focused on time-invariant regressors, even though time-varying regressors are common in practice. In this paper, we introduce a quantile regression framework with time-varying regressors and develop quantile regression estimators. Our estimators are motivated by Manski’s (1975, 1985) maximum score estimator and Chen’s (2010) integrated maximum score estimator. Our estimators are consistent and asymptotically normal under some regularity conditions, and perform well in finite samples. Our method is illustrated with an unemployment duration data set.

Suggested Citation

  • Chen, Songnian, 2019. "Quantile regression for duration models with time-varying regressors," Journal of Econometrics, Elsevier, vol. 209(1), pages 1-17.
    • Handle: RePEc:eee:econom:v:209:y:2019:i:1:p:1-17
    DOI: 10.1016/j.jeconom.2018.11.015
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    Cited by:

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    2. Zamanzadeh, Akbar & Chan, Marc K. & Ehsani, Mohammad Ali & Ganjali, Mojtaba, 2020. "Unemployment duration, Fiscal and monetary policies, and the output gap: How do the quantile relationships look like?," Economic Modelling, Elsevier, vol. 91(C), pages 613-632.

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    More about this item

    Keywords

    Quantile regression; Time-varying regressors; Duration analysis;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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