| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30014 |
| 来源ID | Working Paper 30014 |
| Weighted-Average Quantile Regression | |
| Denis Chetverikov; Yukun Liu; Aleh Tsyvinski | |
| 发表日期 | 2022-05-09 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | In this paper, we introduce the weighted-average quantile regression model. We argue that this model is of interest in many applied settings and develop an estimator for parameters of this model. We show that our estimator is √T-consistent and asymptotically normal with mean zero under weak conditions, where T is the sample size. We demonstrate the usefulness of our estimator in two empirical settings. First, we study the factor structures of the expected shortfalls of the industry portfolios. Second, we study inequality and social welfare dependence on individual characteristics. |
| 主题 | Econometrics |
| URL | https://www.nber.org/papers/w30014 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587687 |
| 推荐引用方式 GB/T 7714 | Denis Chetverikov,Yukun Liu,Aleh Tsyvinski. Weighted-Average Quantile Regression. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w30014.pdf（3357KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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