Restricted Regression Quantiles
AbstractRegression quantiles can be used as prediction intervals for the response variable. But such applications are often hampered by the problem of quantile crossing in finite sample cases. This article examines the efficiency properties of restricted regression quantiles that are proposed by X. He (1997, Amer. Statist.51, 186-192) to overcome the crossing problem of the usual regression quantiles of R. Koenker and G. Bassett (1978, Econometrica46, 33-50) for linear models. An example using esterase assay data is presented to illustrate the use of restricted regression quantiles in constructing calibration intervals.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 72 (2000)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(05), pages 793-813, December.
- Koenker, Roger, 1984. "A note on L-estimates for linear models," Statistics & Probability Letters, Elsevier, vol. 2(6), pages 323-325, December.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
- Ilaria Lucrezia Amerise, 2013. "Weighted Non-Crossing Quantile Regressions," Working Papers 201308, Università della Calabria, Dipartimento di Economia, Statistica e Finanza (Ex Dipartimento di Economia e Statistica).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.