Volume 33, Number 1 (Winter) 1998: Symposium on Microeconomic Methods
Buchinsky, Moshe. 1998. "Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research." Journal of Human Resources 33(1):88-126.
This paper provides a guideline for the practical use of the
semi-parametric technique of quantile regression, concentrating on cross-section
applications. It summarizes the most important issues in quantile regression applications
and fills some gaps in the literature. The paper (a) presents several alternative
estimators for the covariance matrix of the quantile regression estimates; (b) reviews the
results for a sequence of quantile regression estimates; and (c) discusses testing
procedures for homoskedasticity and symmetry of the error distribution. The various
results in the literature are incorporated into the generalized method of moments frame
work. The paper also provides an empirical example using data from the
Current Population Survey, raising several important issues relevant to empirical
applications of quantile regression. The paper concludes with an extension to the censored
quantile regression model.
Moshe Buchinsky is a professor of economics at Brown University and a researcher at the National Bureau of Economic Research. He dedicates this paper to his wife, Claudia. He wishes to thank Don Andrews, Bo Honori, Ariel Pakes and Jim Powell for many discussions leading to writing this paper, and Richard Blundell and two anonymous referees for their valuable comments and suggestions. He also thanks Phillip Leslie for carefully reading and commenting on an earlier draft of the paper. He acknowledges great benefits over the years from discussions with Gary Chamberlain to whom he wishes to acknowledge special thanks. He takes full responsibility for any remaining errors in this paper. He greatly appreciates financial support from the NSF under grant SBR-9320386.
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