3 citations · 3 across the 8 of their papers we have counts for
9 papers
Multivariate quantile regression
Antonio F. Galvao, Gabriel Montes-Rojas
This paper introduces a new framework for multivariate quantile regression based on the multivariate distribution function, termed multivariate quantile regression (MQR). In contra…
Endogenous Heteroskedasticity in Linear Models
Javier Alejo, Antonio F. Galvao, Julian Martinez-Iriarte +1
Linear regressions with endogeneity are widely used to estimate causal effects. This paper studies a framework that involves two common practical issues: endogeneity of the regress…
Unconditional Quantile Partial Effects via Conditional Quantile Regression
Javier Alejo, Antonio F. Galvao, Julian Martinez-Iriarte +1
This paper develops a semi-parametric procedure for estimation of unconditional quantile partial effects using quantile regression coefficients. The estimator is based on an identi…
Network structure and fragmentation of the Argentinean interbank markets
Federico Forte, Pedro Elosegui, Gabriel Montes-Rojas
This paper studies the network structure and fragmentation of the Argentinean interbank market. Both the unsecured (CALL) and the secured (REPO) markets are examined, applying comp…
Unconditional Effects of General Policy Interventions
Julian Martinez-Iriarte, Gabriel Montes-Rojas, Yixiao Sun
This paper studies the unconditional effects of a general policy intervention, which includes location-scale shifts and simultaneous shifts as special cases. The location-scale shi…
Global Financial Cycle, Commodity Terms of Trade and Financial Spreads in Emerging Markets and Developing Economies
Jorge Carrera, Gabriel Montes-Rojas, Fernando Toledo
We study the diffusion of shocks in the global financial cycle and global liquidity conditions to emerging and developing economies. We show that the classification according to th…
A decomposition method to evaluate the `paradox of progress' with evidence for Argentina
Javier Alejo, Leonardo Gasparini, Gabriel Montes-Rojas +1
The `paradox of progress' is an empirical regularity that associates more education with larger income inequality. Two driving and competing factors behind this phenomenon are the…
RIF Regression via Sensitivity Curves
Javier Alejo, Gabriel Montes-Rojas, Walter Sosa-Escudero
This paper proposes an empirical method to implement the recentered influence function (RIF) regression of Firpo, Fortin and Lemieux (2009), a relevant method to study the effect o…
A first-stage representation for instrumental variables quantile regression
Javier Alejo, Antonio F. Galvao, Gabriel Montes-Rojas
This paper develops a first-stage linear regression representation for the instrumental variables (IV) quantile regression (QR) model. The quantile first-stage is analogous to the…