Quantile regression with interval data
From MaRDI portal
Abstract: This paper investigates the identification of quantiles and quantile regression parameters when observations are set valued. We define the identification set of quantiles of random sets in a way that extends the definition of quantiles for regular random variables. We then give sharp characterization of this set by extending concepts from random set theory. For quantile regression parameters, we show that the identification set is characterized by a system of conditional moment inequalities. This characterization extends that of parametric quantile regression for regular random variables. Estimation and inference theories are developed for continuous cases, discrete cases, nonparametric conditional quantiles, and parametric quantile regressions. A fast computational algorithm of set linear programming is proposed. Monte Carlo experiments support our theoretical properties.
Recommendations
Cites work
- scientific article; zbMATH DE number 45706 (Why is no real title available?)
- Asymptotic Properties for a Class of Partially Identified Models
- Confidence intervals for projections of partially identified parameters
- Empirical Estimation of Distribution Quantiles of Random Closed Sets
- Global implicit function theorems
- Inference based on conditional moment inequalities
- Inference for subvectors and other functions of partially identified parameters in moment inequality models
- Inference in Censored Models with Endogenous Regressors
- Inference on Regressions with Interval Data on a Regressor or Outcome
- Inference on endogenously censored regression models using conditional moment inequalities
- Instrumental variable models for discrete outcomes
- Least absolute deviations estimation for the censored regression model
- Nonparametric Identification under Discrete Variation
- Nonparametric estimates of regression quantiles and their local Bahadur representation
- Nonparametric estimation and inference on conditional quantile processes
- On using linear quantile regressions for causal inference
- Partial identification using random set theory
- Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
- Quantile regression.
- Quantiles for Counts
- Regression Quantiles
- Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
- Set identification of the censored quantile regression model for short panels with fixed effects
- Set identification via quantile restrictions in short panels
- Sharp identification regions in models with convex moment predictions
- Some Comments on Quantiles and Order Statistics
- Theory of Random Sets
- Uniform Bahadur representation for local polynomial estimates of M-regression and its application to the additive model
Cited in
(5)
This page was built for publication: Quantile regression with interval data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5862426)
