Baysian Quantile Regression
AbstractRecent work by Schennach (2005) has opened the way to a Bayesian treatment of quantile regression. Her method, called Bayesian exponentially tilted empirical likelihood (BETEL), provides a likelihood for data y subject only to a set of m moment conditions of the form Eg(y, ?) = 0 where ? is a k dimensional parameter of interest and k may be smaller, equal to or larger than m. The method may be thought of as construction of a likelihood supported on the n data points that is minimally informative, in the sense of maximum entropy, subject to the moment conditions.
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Bibliographic InfoPaper provided by Brown University, Department of Economics in its series Working Papers with number 2006-05.
Date of creation: 2006
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Postal: Department of Economics, Brown University, Providence, RI 02912
Other versions of this item:
- Tony Lancaster & Sung Jae Jun, 2006. "Bayesian quantile regression," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP05/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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.:
- Imbens, Guido & Chamberlain, Gary, 1996.
"Nonparametric Applications of Bayesian Inference,"
3221493, Harvard University Department of Economics.
- Chamberlain, Gary & Imbens, Guido W, 2003. "Nonparametric Applications of Bayesian Inference," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 21(1), pages 12-18, January.
- Gary Chamberlain & Guido W. Imbens, 1996. "Nonparametric Applications of Bayesian Inference," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0200, National Bureau of Economic Research, Inc.
- Gary Chamberlain & Guido W. Imbens, 1996. "Nonparametric Applications of Bayesian Inference," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1772, Harvard - Institute of Economic Research.
- Susanne M. Schennach, 2005. "Bayesian exponentially tilted empirical likelihood," Biometrika, Biometrika Trust, Biometrika Trust, vol. 92(1), pages 31-46, March.
- Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers, University of California-Irvine, Department of Economics 060714, University of California-Irvine, Department of Economics.
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