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Quantile Regression: 40 Years On

Author

Listed:
  • Roger Koenker

    (Department of Economics, University of Illinois, Urbana, Illinois 61801)

Abstract

Since Quetelet's work in the nineteenth century, social science has iconified the average man, that hypothetical man without qualities who is comfortable with his head in the oven and his feet in a bucket of ice. Conventional statistical methods since Quetelet have sought to estimate the effects of policy treatments for this average man. However, such effects are often quite heterogeneous: Medical treatments may improve life expectancy but also impose serious short-term risks; reducing class sizes may improve the performance of good students but not help weaker ones, or vice versa. Quantile regression methods can help to explore these heterogeneous effects. Some recent developments in quantile regression methods are surveyed in this review.

Suggested Citation

  • Roger Koenker, 2017. "Quantile Regression: 40 Years On," Annual Review of Economics, Annual Reviews, vol. 9(1), pages 155-176, September.
    • Handle: RePEc:anr:reveco:v:9:y:2017:p:155-176
    DOI: 10.1146/annurev-economics-063016-103651
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    More about this item

    Keywords

    quantile regression; treatment effects; heterogeneity; causal inference;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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