How to conduct unconditional quantile regression in R?

Question

The only package I know that does unconditional quantile regression in R is uqr. Unfortunately, it's been removed from CRAN. Even though I can still use it, its functionality is limited (eg, does not conduct significance tests or allow to compare effects across quantiles). I'm wondering if anyone knows how to conduct UQR in R, with either functions they wrote or some other means.

Answer 1

there are many limitations in terms of test and asymptotic theory regarding unconditional quantile regressions, especially if you are thinking on the version proposed in Firpo, Fortin, and Limeaux (2009) "Unconditional quantile regressions".

The application, however, is straightforward. you need only 2 elements:

1. the unconditional quantile (estimated with any of your favorite packages).
2. the density of the outcome at the quantile you got in (1)

After that, you apply the RIF function:

$$RIF(q) = q(t)+\frac{t-1(y<=q(t)}{f(q(t))}$$

Once you have this, you just use that instead of your dep variable, when you write your "lm()" function. And that is it. HTH