10-07-2016 02:28 PM
Does anyone have ever used unconditional quantile regressions using SAS? I am referring to the regression method proposed in Firpo, Fortin and Lemieux (2009). Unconditional Quantile Regressions. Econometrica, Vol. 77. No. 3, 953-73.
If so, where can I find references/code on the application of unconditional quantile regressions?
SAS has the QUANTREG procedure. However, this refers to conditional quantiles, not to the approach that was developed by Firpo et at. (2009).