Interpreting Unconditional Quantile Regression with Conditional Independence

This note provides additional interpretation for the counterfactual outcome distribution and corresponding "effects" defined and estimated by Firpo, Fortin, and Lemieux (2009) and Chernozhukov, Fernández-Val, and Melly (2013).  With conditional independence of the policy variable of interest, these methods estimate the policy effect for certain types of policies, but not others: the policy change itself must also satisfy conditional independence.

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