urq: Unconditional Quantile Regression

Description

Returns an object of class urq. that represents an Unconditional Quantile Regression Fit

Usage

urq(formula,data,tau=NULL,kernel=NULL,cre=NULL,id=NULL)

Arguments

formula

a formula object, with the response on the left of a ~ operator, and the terms, separated by + operators, on the right.

data

a dataframe in which to interpret the variables named in the formula

tau

the quantile(s) to be estimated, this must be a number (or a vector of numbers) strictly between 0 and 1.

kernel

a character string giving the smoothing kernel to be used. This must match one of "gaussian", "rectangular", "triangular", "epanechnikov", "biweight", "cosine" or "optcosine", with default "gaussian".

cre

The CRE formula (right hand side only) is a specification of the variables in the CRE component. These are possibly endogenous variables (in the sense that they are affected by the fixed effects) and must be time-varying. If left empty, a cross-sectional analysis is performed.

defines the structure of the panel.

Details

This function returns a Recentered Influence Function regression of given quantiles as proposed by Firpo, S., Fortin, N. M., & Lemieux, T. (2009). Panel data analysis is performed extending the correlated random effects (CRE) model by Mundlak (1978) and Chamberlain (1984) to an unconditional quantile regression framework. See Abrevaya and Dahl (2008) and Bache et al (2011) for more details.

References

Firpo, S., Fortin, N. M., & Lemieux, T. (2009). Unconditional quantile regressions. Econometrica, 77(3), 953-973. Mundlak, Y. 1978. On the pooling of time series and cross section data. Econometrica 46: 69-85. Chamberlain G (1984) Panel Data. In: Griliches Z, Intriligator MD (eds) Handbook of Econometrics, vol 2, Elsevier Science B. V., pp 1247-1318 Abrevaya, Jason and Christian M. Dahl. 2008. The effects of birth inputs on birthweight. Jounal of Business and Economic Statistics. 26-4. Pages 379-397. Bache, Stefan Holst; Christian M. Dahl; Johannes Tang Kristensen. 2011. Headlights on tobacco road to low birthweight - Evidence from a battery of quantile regression estimators and a heterogeneous panel.

Examples

Run this code

### example for cross-sectional data ###

data(engel)
formula = foodexp ~ income
rifreg=urq(formula,data = engel)

### example for panel data ###

data(trust)
formula=Trust_in_the_ECB~Trust_in_the_EU+Trust_in_National_Government
cre=~Trust_in_the_EU+Trust_in_National_Government
rif=urq(formula,data=trust,cre=cre,id="countryname")