Unconditional Quantile Regression with High Dimensional Data

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Tác giả: Yuya Sasaki, Takuya Ura, Yichong Zhang

Ngôn ngữ: eng

Ký hiệu phân loại: 512.5 Linear algebra

Thông tin xuất bản: 2020

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 164925

This paper considers estimation and inference for heterogeneous counterfactual effects with high-dimensional data. We propose a novel robust score for debiased estimation of the unconditional quantile regression (Firpo, Fortin, and Lemieux, 2009) as a measure of heterogeneous counterfactual marginal effects. We propose a multiplier bootstrap inference and develop asymptotic theories to guarantee the size control in large sample. Simulation studies support our theories. Applying the proposed method to Job Corps survey data, we find that a policy which counterfactually extends the duration of exposures to the Job Corps training program will be effective especially for the targeted subpopulations of lower potential wage earners.
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