Weighted-Average Quantile Regression

Denis Chetverikov, Yukun Liu, Aleh Tsyvinski

In this paper, we introduce the weighted-average quantile regression model. We argue that this model is of interest in many applied settings and develop an estimator for parameters of this model. We show that our estimator is √T-consistent and asymptotically normal with mean zero under weak conditions, where T is the sample size. We demonstrate the usefulness of our estimator in two empirical settings. First, we study the factor structures of the expected shortfalls of the industry portfolios. Second, we study inequality and social welfare dependence on individual characteristics

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Year of publication:	May 2022
Authors:	Četverikov, Denis N. ; Liu, Yukun ; Tsyvinski, Aleh
Institutions:	National Bureau of Economic Research (issuing body)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Regressionsanalyse \| Regression analysis \| Theorie \| Theory

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