{"id":9044,"date":"2025-12-15T16:45:38","date_gmt":"2025-12-15T19:45:38","guid":{"rendered":"https:\/\/aaep.org.ar\/?p=9044"},"modified":"2025-12-15T16:45:40","modified_gmt":"2025-12-15T19:45:40","slug":"multivariate-quantile-regression","status":"publish","type":"post","link":"https:\/\/aaep.org.ar\/?p=9044","title":{"rendered":"Multivariate quantile regression"},"content":{"rendered":"<iframe loading=\"lazy\" class=\"wonderplugin-pdf-iframe\" src=\"https:\/\/aaep.org.ar\/wp-content\/plugins\/wonderplugin-pdf-embed\/pdfjslight\/web\/viewer.html?v=2&file=https:\/\/aaep.org.ar\/works\/works2025\/4821.pdf\" width=\"100%\" height=\"600px\" style=\"border:0;\"><\/iframe>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>This paper introduces a new framework for multivariate quantile regression based on the multivariate distribution function, termed multivariate quantile regression (MQR). In contrast to existing approaches\u2014such as directional quantiles, vector quantile regression, or copula-based methods\u2014MQR defines quantiles through the conditional probability structure of the joint conditional distribution function. The method constructs multivariate quantile curves using sequential univariate quantile regressions derived from conditioning mechanisms, allowing for an intuitive interpretation and flexible estimation of marginal effects. The paper develops theoretical foundations of MQR, including asymptotic properties of the estimators. Through simulation exercises, the estimator demonstrates robust performance across different dependence structures. As an empirical application, the MQR framework is applied to the analysis of exchange rate pass-through in Argentina from 2004 to 2024.<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"_coblocks_attr":"","_coblocks_dimensions":"","_coblocks_responsive_height":"","_coblocks_accordion_ie_support":"","footnotes":""},"categories":[29],"tags":[33],"class_list":["post-9044","post","type-post","status-publish","format-standard","hentry","category-anales","tag-aaep-anales-2025"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.5 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Multivariate quantile regression - Asociaci\u00f3n Argentina de Econom\u00eda Pol\u00edtica<\/title>\n<meta name=\"robots\" content=\"noindex, follow\" \/>\n<meta property=\"og:locale\" content=\"es_ES\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Multivariate quantile regression - Asociaci\u00f3n Argentina de Econom\u00eda Pol\u00edtica\" \/>\n<meta property=\"og:description\" content=\"This paper introduces a new framework for multivariate quantile regression based on the multivariate distribution function, termed multivariate quantile regression (MQR). In contrast to existing approaches\u2014such as directional quantiles, vector quantile regression, or copula-based methods\u2014MQR defines quantiles through the conditional probability structure of the joint conditional distribution function. The method constructs multivariate quantile curves using sequential univariate quantile regressions derived from conditioning mechanisms, allowing for an intuitive interpretation and flexible estimation of marginal effects. The paper develops theoretical foundations of MQR, including asymptotic properties of the estimators. Through simulation exercises, the estimator demonstrates robust performance across different dependence structures. As an empirical application, the MQR framework is applied to the analysis of exchange rate pass-through in Argentina from 2004 to 2024.\" \/>\n<meta property=\"og:url\" content=\"https:\/\/aaep.org.ar\/?p=9044\" \/>\n<meta property=\"og:site_name\" content=\"Asociaci\u00f3n Argentina de Econom\u00eda Pol\u00edtica\" \/>\n<meta property=\"article:published_time\" content=\"2025-12-15T19:45:38+00:00\" \/>\n<meta property=\"article:modified_time\" content=\"2025-12-15T19:45:40+00:00\" \/>\n<meta name=\"author\" content=\"aaepolitica\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:creator\" content=\"@aaepoficial\" \/>\n<meta name=\"twitter:site\" content=\"@aaepoficial\" \/>\n<meta name=\"twitter:label1\" content=\"Escrito por\" \/>\n\t<meta name=\"twitter:data1\" content=\"aaepolitica\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/?p=9044#article\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/?p=9044\"},\"author\":{\"name\":\"aaepolitica\",\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/#\\\/schema\\\/person\\\/7150b747ba20875259c74b2cd177316c\"},\"headline\":\"Multivariate quantile regression\",\"datePublished\":\"2025-12-15T19:45:38+00:00\",\"dateModified\":\"2025-12-15T19:45:40+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/?p=9044\"},\"wordCount\":18,\"publisher\":{\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/#organization\"},\"keywords\":[\"AAEP Anales 2025\"],\"articleSection\":[\"Anales\"],\"inLanguage\":\"es\"},{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/?p=9044\",\"url\":\"https:\\\/\\\/aaep.org.ar\\\/?p=9044\",\"name\":\"Multivariate quantile regression - 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