ENH: Unconditional quantile regressions, average marginal distributional (continuous) treatment effect

[josef-pkt]

possibly interesting topic with large number of citations (topic I have not seen before)
(I did not look at any details, Econometrica article does not look like an easy read)

ATE looks at population mean of treatment effect.
Here instead it looks at quantiles of the distribution (AFAIU)

I found the topic because of Merlo et al 2023 (includes M-quantiles and Expectiles for multivariate case)

The approach is based on influence function, so this might be interesting also more generally. Do we have applications for empirical influence functions?

Firpo, Sergio, Nicole M. Fortin, and Thomas Lemieux. 2009. “Unconditional Quantile Regressions.” Econometrica 77 (3): 953–73. https://doi.org/10.3982/ECTA6822.
2978 citation count
Stata program, replication files by authors https://sites.google.com/view/nicole-m-fortin/data-and-programs
(links in references are dead)

R package, removed from CRAN, https://github.com/cran/uqr
https://stackoverflow.com/questions/66257604/how-to-conduct-unconditional-quantile-regression-in-r

Baltagi, Badi H., and Pallab Kumar Ghosh. 2017. “Replication of Unconditional Quantile Regressions by Firpo, Fortin and Lemieux (2009).” Journal of Applied Econometrics 32 (1): 218–23. https://doi.org/10.1002/jae.2477.

Merlo, Luca, Lea Petrella, Nicola Salvati, and Nikos Tzavidis. 2023. “Unified Unconditional Regression for Multivariate Quantiles, M-Quantiles, and Expectiles.” Journal of the American Statistical Association 0 (0): 1–12. https://doi.org/10.1080/01621459.2023.2250512.