Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64695
Authors: 
Chernozhukov, Victor
Fernández-Val, Iván
Melly, Blaise
Year of Publication: 
2012
Series/Report no.: 
cemmap working paper CWP05/12
Abstract: 
We develop inference procedures for policy analysis based on regression methods. We consider policy interventions that correspond to either changes in the distribution of covariates, or changes in the conditional distribution of the outcome given covariates, or both. Under either of these policy scenarios, we derive functional central limit theorems for regression-based estimators of the status quo and counterfactual marginal distributions. This result allows us to construct simultaneous confidence sets for function-valued policy effects, including the effects on the marginal distribution function, quantile function, and other related functionals. We use these confidence sets to test functional hypotheses such as no-effect, positive effect, or stochastic dominance. Our theory applies to general policy interventions and covers the main regression methods including classical, quantile, duration, and distribution regressions. We illustrate the results with an empirical application on wage decompositions using data for the United States. Of independent interest is the use of distribution regression as a tool for modeling the entire conditional distribution, encompassing duration/transformation regression, and representing an alternative to quantile regression.
Subjects: 
policy effects
counterfactual distribution
quantile regression
distribution regression
duration/transformation regression
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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