Spread Regression, Skewness Regression, and Kurtosis Regression With an Application to the US Wage Structure

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2025-01-27 DOI:10.1002/jae.3105

Qiang Chen, Zhijie Xiao

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Abstract

Quantile regression provides a powerful tool for investigating the effects of covariates on key quantiles of a conditional distribution. However, we often lack a general picture of how covariates affect the overall shape of the conditional distribution. Using quantile regression estimation and quantile-based measures of spread, skewness, and kurtosis, we propose spread regression, skewness regression, and kurtosis regression as empirical tools to quantify the effects of covariates on the spread, skewness, and kurtosis of the conditional distribution. This methodology is applied to US wage data during 1980–2019 with substantive findings, and a comparison is made with a moment-based robust approach. In addition, we decompose changes in the spread into composition effects and structural effects to clarify rising inequality. We also provide the Stata commands spreadreg, skewreg, and kurtosisreg, which are available from the Statistical Software Components (SSC) archive, for easy implementation of spread, skewness, and kurtotis regressions.

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扩散回归、偏度回归和峰度回归在美国工资结构中的应用

分位数回归为研究协变量对条件分布的关键分位数的影响提供了一个强大的工具。然而，对于协变量如何影响条件分布的整体形状，我们往往缺乏一个总体的认识。使用分位数回归估计和基于分位数的分布、偏度和峰度度量，我们提出了分布回归、偏度回归和峰度回归作为经验工具来量化协变量对条件分布的分布、偏度和峰度的影响。将该方法应用于1980-2019年的美国工资数据，得出了实质性的发现，并与基于时刻的稳健方法进行了比较。此外，我们将差距的变化分解为构成效应和结构效应，以澄清日益加剧的不平等。我们还提供Stata命令spreadreg、skewreg和kurtoisreg，这些命令可以从统计软件组件（SSC）存档中获得，用于轻松实现spread、skewness和kurtotis回归。

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.