{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,5]],"date-time":"2026-10-05T18:34:18Z","timestamp":1791225258684,"version":"4.1.0"},"reference-count":78,"publisher":"The Econometric Society","issue":"6","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["ECTA"],"abstract":"<jats:p>\n                    This paper develops a dynamic model of rational behavior under uncertainty, in which the agent maximizes the stream of future\n                    <jats:italic>\u03c4<\/jats:italic>\n                    \u2010quantile utilities, for\n                    <jats:italic>\u03c4<\/jats:italic>\n                    \u2009\u2208\u2009(0,1). That is, the agent has a quantile utility preference instead of the standard expected utility. Quantile preferences have useful advantages, including the ability to capture heterogeneity and allowing the separation between risk aversion and elasticity of intertemporal substitution. Although quantiles do not share some of the helpful properties of expectations, such as linearity and the law of iterated expectations, we are able to establish all the standard results in dynamic models. Namely, we show that the quantile preferences are dynamically consistent, the corresponding dynamic problem yields a value function, via a fixed point argument, this value function is concave and differentiable, and the principle of optimality holds. Additionally, we derive the corresponding Euler equation, which is well suited for using well\u2010known quantile regression methods for estimating and testing the economic model. In this way, the parameters of the model can be interpreted as structural objects. Therefore, the proposed methods provide microeconomic foundations for quantile regression methods. To illustrate the developments, we construct an intertemporal consumption model and estimate the discount factor and elasticity of intertemporal substitution parameters across the quantiles. The results provide evidence of heterogeneity in these parameters.\n                  <\/jats:p>","DOI":"10.3982\/ecta15146","type":"journal-article","created":{"date-parts":[[2019,11,27]],"date-time":"2019-11-27T05:08:32Z","timestamp":1574831312000},"page":"1893-1939","source":"Crossref","is-referenced-by-count":63,"title":["Dynamic Quantile Models of Rational Behavior"],"prefix":"10.3982","volume":"87","author":[{"given":"Luciano","family":"Castro","sequence":"first","affiliation":[{"name":"Department of Economics, University of Iowa"},{"name":"IMPA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Antonio F.","family":"Galvao","sequence":"additional","affiliation":[{"name":"Department of Economics, University of Arizona"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2019]]},"reference":[{"key":"ecta200073-bib-0001","doi-asserted-by":"crossref","first-page":"507","DOI":"10.1016\/S0304-3932(96)01290-1","volume":"38","author":"Atkeson","year":"1996","journal-title":"Journal of Monetary Economics"},{"key":"ecta200073-bib-0002","first-page":"1118","volume":"85","author":"Attanasio","year":"1995","journal-title":"American Economic Review"},{"key":"ecta200073-bib-0003","doi-asserted-by":"crossref","first-page":"406","DOI":"10.1016\/j.red.2003.09.003","volume":"7","author":"Attanasio","year":"2004","journal-title":"Review of Economic Dynamics"},{"key":"ecta200073-bib-0004","doi-asserted-by":"crossref","first-page":"477","DOI":"10.1093\/jjfinec\/nbh023","volume":"2","author":"Bassett","year":"2004","journal-title":"Journal of Financial Econometrics"},{"key":"ecta200073-bib-0005","volume-title":"Economic Dynamics: An Introduction","author":"Baumol","year":"1959","edition":"Second"},{"key":"ecta200073-bib-0006","doi-asserted-by":"crossref","first-page":"727","DOI":"10.2307\/1910417","volume":"47","author":"Benveniste","year":"1979","journal-title":"Econometrica"},{"key":"ecta200073-bib-0007","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1515\/jem-2014-0018","volume":"5","author":"Bera","year":"2016","journal-title":"Journal of Econometric Methods"},{"key":"ecta200073-bib-0008","doi-asserted-by":"crossref","first-page":"441","DOI":"10.1007\/BF01213848","volume":"9","author":"Berk","year":"1997","journal-title":"Economic Theory"},{"key":"ecta200073-bib-0009","doi-asserted-by":"crossref","first-page":"486","DOI":"10.1198\/jasa.2009.0015","volume":"104","author":"Bhattacharya","year":"2009","journal-title":"Journal of the American Statistical Association"},{"key":"ecta200073-bib-0010","doi-asserted-by":"crossref","first-page":"57","DOI":"10.2307\/2297877","volume":"61","author":"Blundell","year":"1994","journal-title":"Review of Economic Studies"},{"key":"ecta200073-bib-0011","doi-asserted-by":"crossref","first-page":"1433","DOI":"10.3982\/ECTA11898","volume":"85","author":"Bommier","year":"2017","journal-title":"Econometrica"},{"key":"ecta200073-bib-0012","doi-asserted-by":"crossref","first-page":"479","DOI":"10.1016\/0022-0531(72)90135-4","volume":"4","author":"Brock","year":"1972","journal-title":"Journal of Economic Theory"},{"key":"ecta200073-bib-0013","doi-asserted-by":"crossref","first-page":"803","DOI":"10.1016\/S1574-0102(03)01022-7","volume-title":"Handbook of the Economics of Finance: Financial Markets and Asset Pricing","volume":"1","author":"Campbell","year":"2003"},{"key":"ecta200073-bib-0014","first-page":"185","volume-title":"NBER Macroeconomics Annual 1989","author":"Campbell","year":"1989"},{"key":"ecta200073-bib-0015","doi-asserted-by":"crossref","first-page":"433","DOI":"10.1162\/003355399556043","volume":"114","author":"Campbell","year":"1999","journal-title":"Quarterly Journal of Economics"},{"key":"ecta200073-bib-0016","unstructured":"Chambers, C. 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