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Measuring firm performance by using linear and non-parametric quantile regressions

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  • Manuel Landajo
  • Javier de Andrés
  • Pedro Lorca
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    Abstract

    Quantile regression models are examined from the standpoint of their suitability to analyse company profitability. Some linear and non-linear ("B"-spline) structures are proposed. Linear conditional quantile models provide an intuitive framework which permits conventional statistical inference tools to be applied. Non-parametric spline-based quantile regression is a flexible approach, allowing a different grade of curvature for each conditional quantile, thus providing the possibility of capturing certain non-linear effects that are predicted by economic theory. The behaviour of these variants of the quantile framework is tested on a representative database, which was obtained from the Spanish book publishing industry. Our results confirm the usefulness of the quantile regression approach. Linear models seem to provide suitable descriptions for the behaviour of average performing firms, whereas non-parametric estimates provide the best fit for the extreme conditional quantiles (i.e. companies which exhibit the highest and the lowest performance in terms of profitability). Copyright (c) 2008 Royal Statistical Society.

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    Bibliographic Info

    Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series C (Applied Statistics).

    Volume (Year): 57 (2008)
    Issue (Month): 2 ()
    Pages: 227-250

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    Handle: RePEc:bla:jorssc:v:57:y:2008:i:2:p:227-250

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    Cited by:
    1. Timo Schmid & Ralf Münnich, 2014. "Spatial robust small area estimation," Statistical Papers, Springer, Springer, vol. 55(3), pages 653-670, August.
    2. Yan Alperovych & Georges Hübner, 2013. "Incremental impact of venture capital financing," Small Business Economics, Springer, Springer, vol. 41(3), pages 651-666, October.
    3. VAN KERM Philippe & YU Seunghee & CHOE Chung, 2014. "Wage differentials between native, immigrant and cross-border workers: Evidence and model comparisons," CEPS/INSTEAD Working Paper Series 2014-05, CEPS/INSTEAD.
    4. Alperovych, Yan & Hübner, Georges, 2011. "Explaining returns on venture capital backed companies: Evidence from Belgium," Research in International Business and Finance, Elsevier, Elsevier, vol. 25(3), pages 277-295, September.

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