Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/302666 
Year of Publication: 
2024
Series/Report no.: 
IZA Discussion Papers No. 17149
Publisher: 
Institute of Labor Economics (IZA), Bonn
Abstract: 
Quantile crossing has been a challenge for quantile regression, leading to research in how to obtain monotonically increasing quantile estimates. While important contributions, these papers do not provide insight into how enforcing monotonicity influences the estimated coefficients. This paper fills this gap and shows that non-crossing constraints are a type of fused-shrinkage. The proposed estimator has good fit and (fused) variable selection properties: it can reliably identify quantile varying parameters. We investigate the 'heat-or-eat' dilemma and show that prepayment has a non-linear impact on households' consumption choices. In a growth-at-risk application the estimator has the best forecast performance.
Subjects: 
fused-shrinkage
quantile regression
non-crossing constraints
LASSO
JEL: 
C21
Document Type: 
Working Paper

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