Quantile Regression The intuition

Quantile Regression

The intuition

The intuition

The intuition

An alternative approach

Examples

• Five ideas from your (or your friends’) research where this approach might be useful.

Some examples

Some examples

Some examples

Some examples

Some examples

Some examples

Some more examples

Some examples

Some examples

Technical intuitions

Formulae (OLS)

Formulae (LAD)

Formulae (LAD vs OLS)

Formulae (LAD at ≠.5)

Formulae (LAD at ≠.5)

Technical (semi) intuitions

Why we might care

Why we might care

Issues

• Small samples

• Guidelines: The 30 observations rule? (Chernozhukov)

• Suitable dependent variables

• Does your metric make sense?

• Accessibility

• (Relatively) new outside of economics
• Solution: Find a friend in economics?
• More difficult with thornier data (categorical DV’s, panel data, etc)

Issues

• Cluster robust standard errors

• Solutions:
• Bootstrapping se’s
• Sandwich estimators (see stata code online)

• Thinking about effects

• Effects on the distribution
• Rank preservation assumptions

• Distribution of Y not of X