An empirical likelihood approach to quantile regression with auxiliary information
We consider how to incorporate auxiliary information to improve quantile regression via empirical likelihood. We propose a novel framework and show that our approach yields more efficient estimates compared to those from the conventional quantile regression. The efficiency gain is quantified theoretically and demonstrated empirically via simulation studies.
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Volume (Year): 82 (2012)
Issue (Month): 1 ()
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References listed on IDEAS
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