By: Aselia Urmanbetova
In a joint paper recently accepted by Econometric Theory, Assistant Professor Karen Yan and co-authors Zheng Fang and Qi Li consider nonparametric estimation of a conditional quantile function.
Quintile methods are often used in economics to estimate the median and other quantiles of the response variable. Yan and her co-authors propose a new and easy-to-implement nonparametric method that is computationally much less demanding than other existing methods while performing well in Monte Carlo simulations.
As an example, the authors apply their method to calculate the relation between wage quantiles and age using Canadian data from high school graduates. They show that for the lowest quantiles wages start to fall after age 35, but for the highest quantiles wages start to fall after age 55.
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