This paper replaces the earlier independent projects started in 2005, “Inference on Counterfactual Distributions Using Conditional Quantile Models” by Chernozhukov and Fernández-Val, and “Estimation of Counterfactual Distributions Using Quantile Regression” by Melly. We would like to thank the co-editors, five anonymous referees, Isaiah Andrews, Josh Angrist, Manuel Arellano, David Autor, Alexandre Belloni, Moshe Buchinsky, Arun Chandrasekhar, Mingli Chen, Denis Chetverikov, Flavio Cunha, Brigham Frandsen, Jerry Hausman, James Heckman, Michael Jansson, Kengo Kato, Roger Koenker, Joonhwan Lee, Ye Luo, Pierre-Andre Maugis, Justin McCrary, Miikka Rokkanen, and seminar participants at Banff International Research Station Conference on Semiparametric and Nonparametric Methods in Econometrics, Berkeley, Boston University, CEMFI, Columbia, Harvard/MIT, Michigan, MIT, Ohio State, St. Gallen, and the 2008 Winter Econometric Society Meetings for very useful comments that helped improve the paper. Companion software developed by the authors (counterfactual packages for Stata and R) is available from the authors' web sites. We gratefully acknowledge research support from the National Science Foundation.
Inference on Counterfactual Distributions
Version of Record online: 13 NOV 2013
© 2013 The Econometric Society
Volume 81, Issue 6, pages 2205–2268, November 2013
How to Cite
Chernozhukov, V., Fernández-Val, I. and Melly, B. (2013), Inference on Counterfactual Distributions. Econometrica, 81: 2205–2268. doi: 10.3982/ECTA10582
- Issue online: 13 NOV 2013
- Version of Record online: 13 NOV 2013
- Manuscript received April, 2009; final revision received November, 2012.
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