A Simple Quantile Regression Model Linking Micro Outcomes to Macro Covariates.
This paper introduces a new location‐scale quantile regression model aimed at examining the effects of macroeconomic variables on the distribution of microeconomic outcomes using repeated cross‐sectional data. The model can be converted into an equivalent mean regression, enabling quantile coefficie...
| Publicado en: | International Economic Review Vol. 66; no. 3; pp. 1341 - 1363 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Wiley-Blackwell
Aug2025
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=189329037&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 189329037 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00206598 IER jtl: International Economic Review issn: 00206598 maglogo: Y pubinfo: dt: Aug2025 vid: 66 iid: 3 pid: 480 pub: Wiley-Blackwell artinfo: ui: 189329037 10.1111/iere.12765 ppf: 1341 ppct: 22 formats: tig: atl: A Simple Quantile Regression Model Linking Micro Outcomes to Macro Covariates. aug: au: Chen, Xiaohong Ju, Gaosheng Li, Qi affil: Cowles Foundation for Research in Economics, Yale University, New Haven Connecticut,, USA China Center for Economic Studies, School of Economics, Fudan University, Shanghai, China Shanghai Institute of International Finance and Economics, Shanghai, China Department of Economics, Texas A&M University, College Station Texas,, USA su: Macroeconomics Microeconomics Quantile regression Inferential statistics Regression analysis Optimization algorithms Economic shock sug: subj: Macroeconomics Microeconomics Quantile regression Inferential statistics Regression analysis Optimization algorithms Economic shock keyword: big data factor model macro policy micro outcomes quantile regression repeated cross‐sectional data big data factor model macro policy micro outcomes quantile regression repeated cross‐sectional data ab: This paper introduces a new location‐scale quantile regression model aimed at examining the effects of macroeconomic variables on the distribution of microeconomic outcomes using repeated cross‐sectional data. The model can be converted into an equivalent mean regression, enabling quantile coefficient estimation through least squares. This transformation improves computational efficiency, simplifies statistical inference for large data sets, and maintains robustness against model misspecification. We establish the asymptotic properties of the estimator and investigate several extensions. Our applications demonstrate that stock returns and household large‐scale expenditure growth rates respond differently across quantiles to expansionary monetary shocks and macroeconomic conditions, respectively. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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