Quantile Regression

Journal of Economic Perspectives - Tập 15 Số 4 - Trang 143-156 - 2001
Roger Koenker1, Kevin F. Hallock1
1University of Illinois at Urbana-Champaign, Champaign, Illinois.

Tóm tắt

Quantile regression, as introduced by Koenker and Bassett (1978), may be viewed as an extension of classical least squares estimation of conditional mean models to the estimation of an ensemble of models for several conditional quantile functions. The central special case is the median regression estimator which minimizes a sum of absolute errors. Other conditional quantile functions are estimated by minimizing an asymmetrically weighted sum of absolute errors. Quantile regression methods are illustrated with applications to models for CEO pay, food expenditure, and infant birthweight.

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Thông tin
Thông tin xuất bản

Journal of Economic Perspectives

Tập 15 Số 4

143-156

Thông tin tác giả