Unified Unconditional Regression for Multivariate Quantiles, M-Quantiles, and Expectiles
多元分位数、M分位数与期望分位数的统一无条件回归
In this article, we develop a unified regression approach to model unconditional quantiles, M-quantiles and expectiles of multivariate dependent variables exploiting the multidimensional Huber’s function. To assess the impact of changes in the covariates across the entire unconditional distribution of the responses, we extend the work of Firpo, Fortin, and Lemieux by running a mean regression of the recentered influence function on the explanatory variables. We discuss the…