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Quantile and probability curves without crossing

Author

Listed:
  • Victor Chernozhukov

    (Institute for Fiscal Studies and MIT)

  • Ivan Fernandez-Val

    (Institute for Fiscal Studies and Boston University)

  • Alfred Galichon

    (Institute for Fiscal Studies and NYU)

Abstract

The most common approach to estimating conditional quantile curves is to fit a curve, typically linear, pointwise for each quantile. Linear functional forms, coupled with pointwise fitting, are used for a number of reasons including parsimony of the resulting approximations and good computational properties. The resulting fits, however, may not respect a logical monotonicity requirement that the quantile curve be increasing as a function of probability. This paper studies the natural monotonization of these empirical curves induced by sampling from the estimated non-monotone model, and then taking the resulting conditional quantile curves that by construction are monotone in the probability.

Suggested Citation

  • Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Quantile and probability curves without crossing," CeMMAP working papers CWP10/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:10/07
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