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Improving the computation of censored quantile regressions

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  • Fitzenberger, Bernd
  • Winker, Peter

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  • Fitzenberger, Bernd & Winker, Peter, 2007. "Improving the computation of censored quantile regressions," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 88-108, September.
  • Handle: RePEc:eee:csdana:v:52:y:2007:i:1:p:88-108
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    1. José Ferreira Machado & Pedro Portugal & Juliana Guimarães, 2006. "U.S. Unemployment Duration: Has Long Become Longer or Short Become Shorter?," Working Papers w200613, Banco de Portugal, Economics and Research Department.
    2. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    3. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
    4. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    5. Winker, Peter & Fang, Kai-Tai, 1995. "Application of threshold accepting to the evaluation of the discrepancy of a set of points," Discussion Papers, Series II 248, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    6. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
    7. Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
    8. Peter Winker, 2000. "Optimized Multivariate Lag Structure Selection," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 87-103, October.
    9. Honore, Bo & Khan, Shakeeb & Powell, James L., 2002. "Quantile regression under random censoring," Journal of Econometrics, Elsevier, vol. 109(1), pages 67-105, July.
    10. Pinkse, C. A. P., 1993. "On the computation of semiparametric estimates in limited dependent variable models," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 185-205, July.
    11. Bernd Fitzenberger & Ralf Wilke, 2006. "Using quantile regression for duration analysis," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 105-120, March.
    12. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    13. Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283.
    14. Reinhard Hujer & Bernd Fitzenberger & Reinhold Schnabel & Thomas E. MaCurdy, 2001. "Testing for uniform wage trends in West-Germany: A cohort analysis using quantile regressions for censored data," Empirical Economics, Springer, vol. 26(1), pages 41-86.
    15. Hong H. & Chernozhukov V., 2002. "Three-Step Censored Quantile Regression and Extramarital Affairs," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 872-882, September.
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    Cited by:

    1. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
    2. Thanasis Stengos & Dianqin Wang, 2007. "An algorithm for censored quantile regressions," Economics Bulletin, AccessEcon, vol. 3(1), pages 1-9.
    3. Peter Winker & Dietmar Maringer, 2009. "The convergence of estimators based on heuristics: theory and application to a GARCH model," Computational Statistics, Springer, vol. 24(3), pages 533-550, August.
    4. Fitzenberger, Bernd & Reize, Frank, 2002. "Quantilsregressionen der westdeutschen Verdienste: Ein Vergleich zwischen der Gehalts- und Lohnstrukturerhebung und der IAB-Beschäftigtenstichprobe," ZEW Discussion Papers 02-79, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    5. Schmillen, Achim & Möller, Joachim, 2012. "Distribution and determinants of lifetime unemployment," Labour Economics, Elsevier, vol. 19(1), pages 33-47.
    6. Ji, Yonggang & Lin, Nan & Zhang, Baoxue, 2012. "Model selection in binary and tobit quantile regression using the Gibbs sampler," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 827-839.
    7. Koenker, Roger, 2008. "Censored Quantile Regression Redux," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i06).
    8. Liu, Yu-Hsin, 2011. "Incorporating scatter search and threshold accepting in finding maximum likelihood estimates for the multinomial probit model," European Journal of Operational Research, Elsevier, vol. 211(1), pages 130-138, May.
    9. Wang, Huixia Judy & Wang, Lan, 2009. "Locally Weighted Censored Quantile Regression," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1117-1128.
    10. Rima Rajab & Milan Dražić & Nenad Mladenović & Pavle Mladenović & Keming Yu, 2015. "Fitting censored quantile regression by variable neighborhood search," Journal of Global Optimization, Springer, vol. 63(3), pages 481-500, November.
    11. Lin, Guixian & He, Xuming & Portnoy, Stephen, 2012. "Quantile regression with doubly censored data," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 797-812.
    12. Bernd Fitzenberger & Ralf Wilke, 2006. "Using quantile regression for duration analysis," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 105-120, March.
    13. Luik, Marc-André & Berlemann, Michael, 2014. "Institutional Reform and Depositors’ Portfolio Choice: Evidence from Censored Quantile Regressions," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100291, Verein für Socialpolitik / German Economic Association.
    14. Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
    15. Bilias, Yannis & Chen, Songnian & Ying, Zhiliang, 2000. "Simple resampling methods for censored regression quantiles," Journal of Econometrics, Elsevier, vol. 99(2), pages 373-386, December.
    16. Peter Winker & Marianna Lyra & Chris Sharpe, 2008. "Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models," Working Papers 006, COMISEF.
    17. Boockmann, Bernhard & Steffes, Susanne, 2007. "Seniority and Job Stability: A Quantile Regression Approach Using Matched Employer-Employee Data," ZEW Discussion Papers 07-014, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    18. Yanlin Tang & Huixia Wang & Xuming He & Zhongyi Zhu, 2012. "An informative subset-based estimator for censored quantile regression," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(4), pages 635-655, December.
    19. Gilli, Manfred & Winker, Peter, 2007. "2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 2-3, September.
    20. Staszewska-Bystrova, Anna & Winker, Peter, 2013. "Constructing narrowest pathwise bootstrap prediction bands using threshold accepting," International Journal of Forecasting, Elsevier, vol. 29(2), pages 221-233.
    21. Manfred GILLI & Peter WINKER, "undated". "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.
    22. repec:ebl:ecbull:v:3:y:2007:i:1:p:1-9 is not listed on IDEAS
    23. Schunk Daniel, 2009. "What Determines Household Saving Behavior: An Examination of Saving Motives and Saving Decisions 06.01.2009," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 229(4), pages 467-491, August.
    24. Peter Winker & Marianna Lyra & Chris Sharpe, 2011. "Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model," Computational Management Science, Springer, vol. 8(1), pages 103-123, April.

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