Quantile Regression The intuition


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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

  • Distribution of Y not of X




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