arbiter
JournalsAccount

INFERENCE ON EXTREME QUANTILES OF UNOBSERVED INDIVIDUAL HETEROGENEITY

Vladislav Morozov

Econometric Theory2026https://doi.org/10.1017/s0266466625100315article
AJG 4ABDC A*
Weight
0.50

Abstract

We develop a methodology for conducting inference on extreme quantiles of unobserved individual heterogeneity (e.g., heterogeneous coefficients and treatment effects) in panel data and meta-analysis settings. Inference is challenging in such settings: only noisy estimates of heterogeneity are available, and central limit approximations perform poorly in the tails. We derive a necessary and sufficient condition under which noisy estimates are informative about extreme quantiles, along with sufficient rate and moment conditions. Under these conditions, we establish an extreme value theorem and an intermediate order theorem for noisy estimates. These results yield simple optimization-free confidence intervals (CIs) for extreme quantiles. Simulations show that our CIs have favorable coverage and that the rate conditions matter for the validity of inference. We illustrate the method with an application to firm productivity differences across areas of varying population density. By analyzing the left tails of the productivity distributions, we find no evidence of stronger firm selection in more densely populated areas.

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.1017/s0266466625100315

Or copy a formatted citation

@article{vladislav2026,
  title        = {{INFERENCE ON EXTREME QUANTILES OF UNOBSERVED INDIVIDUAL HETEROGENEITY}},
  author       = {Vladislav Morozov},
  journal      = {Econometric Theory},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1017/s0266466625100315},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

INFERENCE ON EXTREME QUANTILES OF UNOBSERVED INDIVIDUAL HETEROGENEITY

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.