Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics

DOI10.1016/S0304-4076(99)00043-3zbMath0977.62114MaRDI QIDQ1574221

Roger W. Koenker

Publication date: 22 November 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

linear programmingquantile regressioninterior point methodsregression depthleast absolute error regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear inference, regression (62J99) Applications of mathematical programming (90C90)

Related Items (23)

Nonparametric estimates for conditional quantiles of time series ⋮ Statistical inference in the presence of heavy tails ⋮ Robust neural modeling for the cross-sectional analysis of accounting information ⋮ High-dimensional latent panel quantile regression with an application to asset pricing ⋮ Reprint: Hypothesis testing on high dimensional quantile regression ⋮ Hypothesis testing on high dimensional quantile regression ⋮ Dyadic analysis for multi-block data in sport surveys analytics ⋮ Consistency of a nonparametric conditional quantile estimator for random fields ⋮ Averaged Autoregression Quantiles in Autoregressive Model ⋮ Self-organizing map visualizing conditional quantile functions with multidimensional covariates ⋮ Robust weighted LAD regression ⋮ Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity ⋮ Least absolute value regression: recent contributions ⋮ Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity ⋮ Risk and efficiency in the Central and Eastern European banking industry under quantile analysis ⋮ Modeling and Fitting Quantile Distributions and Regressions ⋮ Non‐parametric Quantile Regression with Censored Data ⋮ Comparison of kernel estimators of conditional distribution function and quantile regression under censoring ⋮ Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity ⋮ Measuring Firm Performance By Using Linear and Non-Parametric Quantile Regressions ⋮ The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis. ⋮ Modeling heterogeneous treatment effects in the presence of endogeneity ⋮ A quantile regression perspective on external preference mapping

Uses Software

• COBS
• Algorithm 478

Cites Work

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• A new polynomial-time algorithm for linear programming
• Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
• Censored regression quantiles
• Regression rank scores and regression quantiles
• Breakdown properties of location estimates based on halfspace depth and projected outlyingness
• Breakdown points and variation exponents of robust \(M\)-estimators in linear models
• The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors
• A note on prediction via estimation of the conditional mode function
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• R. J. Boscovich's work on probability
• On projected newton barrier methods for linear programming and an equivalence to Karmarkar’s projective method
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• Mallows-Type Bounded-Influence-Regression Trimmed Means
• Francis Ysidro Edgeworth, Statistician
• Tail Behavior of Regression Estimators and their Breakdown Points
• On the Implementation of a Primal-Dual Interior Point Method
• Path-Following Methods for Linear Programming
• Expected time bounds for selection
• Regression Quantiles
• Asymptotic Theory of Least Absolute Error Regression
• Quantile smoothing splines
• Regression Depth

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