Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
Author(s)
Fernandez-Val, Ivan; Chernozhukov, Victor V.
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Quantile regression (QR) is an increasingly important empirical tool in economics and other sciences for analysing the impact a set of regressors has on the conditional distribution of an outcome. Extremal QR, or QR applied to the tails, is of interest in many economic and financial applications, such as conditional value at risk, production efficiency, and adjustment bands in (S,s) models. This paper provides feasible inference tools for extremal conditional quantile models that rely on extreme value approximations to the distribution of self-normalized QR statistics. The methods are simple to implement and can be of independent interest even in the univariate (non-regression) case. We illustrate the results with two empirical examples analysing extreme fluctuations of a stock return and extremely low percentiles of live infant birthweight in the range between 250 and 1500 g.
Description
Original manuscript 26 Dec 2009
Date issued
2011-03Department
Massachusetts Institute of Technology. Department of EconomicsJournal
Review of Economic Studies
Publisher
Oxford University Press
Citation
Chernozhukov, V., and I. Fernandez-Val. “Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks.” The Review of Economic Studies 78, no. 2 (March 21, 2011): 559-589.
Version: Original manuscript
ISSN
0034-6527
1467-937X