Finite-sample distribution of regression quantiles
The finite-sample distributions of the regression quantile and of the extreme regression quantile are derived for a broad class of distributions of the model errors, even for the non-i.i.d case. The distributions are analogous to the corresponding distributions in the location model; this again confirms that the regression quantile is a straightforward extension of the sample quantile. As an application, the tail behavior of the regression quantile is studied.
Volume (Year): 80 (2010)
Issue (Month): 23-24 (December)
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- He, Xuming, et al, 1990. "Tail Behavior of Regression Estimators and Their Breakdown Points," Econometrica, Econometric Society, vol. 58(5), pages 1195-1214, September.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- repec:cup:cbooks:9780521845731 is not listed on IDEAS
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