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Conditional vs Unconditional Quantile Regression Models: A Guide to Practitioners

Author

Listed:
  • Javier Alejo

    (IECON - Universidad de la República Uruguay)

  • Federico Favata

    (Centro de Investigaciones Macroeconómicas para el Desarrollo - Universidad de Nacional de San Martín)

  • Gabriel Montes-Rojas

    (Instituto Interdisciplinario de Economía Política, Universidad de Buenos Aires)

  • Martín Trombetta

    (CONICET and Universidad Nacional de General Sarmiento)

Abstract

This paper analyzes two econometric tools that are used to evaluate distributional effects, conditional quantile regression (CQR) and unconditional quantile regression (UQR). Our main objective is to shed light on the similarities and differences between these methodologies. An interesting theoretical derivation to connect CQR and UQR is that, for the effect of a continuous covariate, the UQR is a weighted average of the CQR. This imposes clear bounds on the values that UQR coefficients can take and provides a way to detect misspecification. The key here is a match between CQR whose predicted values are the closest to the unconditional quantile. For a binary covariate, however, we derive a new analytical relationship. We illustrate these models using age returns and gender gap in Argentina for 2019 and 2020.

Suggested Citation

  • Javier Alejo & Federico Favata & Gabriel Montes-Rojas & Martín Trombetta, 2021. "Conditional vs Unconditional Quantile Regression Models: A Guide to Practitioners," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 44(88), pages 76-93.
    • Handle: RePEc:pcp:pucrev:y:2021:i:88:p:76-93
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    File URL: https://revistas.pucp.edu.pe/index.php/economia/article/view/24201/23459
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    Citations

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    Cited by:

    1. Juan Cruz Varvello & Jorge Camusso & Ana Inés Navarro, 2022. "Teletrabajo y distribución de ingresos laborales en Argentina," Asociación Argentina de Economía Política: Working Papers 4605, Asociación Argentina de Economía Política.
    2. Varvello Juan Cruz & Camusso Jorge & Navarro Ana Inés, 2023. "Does Teleworking Affect The Labor Income Distribution? Empirical Evidence From South American Countries," Asociación Argentina de Economía Política: Working Papers 4698, Asociación Argentina de Economía Política.

    More about this item

    Keywords

    Quantile regression; Unconditional quantile regression; Influence functions;
    All these keywords.

    JEL classification:

    • J01 - Labor and Demographic Economics - - General - - - Labor Economics: General
    • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials

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