Bayesian quantile regression methods
This paper is a study of the application of Bayesian exponentially tilted empirical likelihood to inference about quantile regressions. In the case of simple quantiles we show the exact form for the likelihood implied by this method and compare it with the Bayesian bootstrap and with Jeffreys' method. For regression quantiles we derive the asymptotic form of the posterior density. We also examine Markov chain Monte Carlo simulations with a proposal density formed from an overdispersed version of the limiting normal density. We show that the algorithm works well even in models with an endogenous regressor when the instruments are not too weak. Copyright © 2009 John Wiley & Sons, Ltd.
Volume (Year): 25 (2010)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/0883-7252/|
|Order Information:|| Web: http://www3.interscience.wiley.com/jcatalog/subscribe.jsp?issn=0883-7252 Email: |
References listed on IDEAS
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.:
- Chamberlain, Gary & Imbens, Guido W, 2003.
"Nonparametric Applications of Bayesian Inference,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 21(1), pages 12-18, January.
- Imbens, Guido & Chamberlain, Gary, 1996. "Nonparametric Applications of Bayesian Inference," Scholarly Articles 3221493, Harvard University Department of Economics.
- Gary Chamberlain & Guido W. Imbens, 1996. "Nonparametric Applications of Bayesian Inference," NBER Technical Working Papers 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 1772, Harvard - Institute of Economic Research.
- Kottas A. & Gelfand A.E., 2001. "Bayesian Semiparametric Median Regression Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1458-1468, December.
- Kathryn Graddy, 1995. "Testing for Imperfect Competition at the Fulton Fish Market," RAND Journal of Economics, The RAND Corporation, vol. 26(1), pages 75-92, Spring.
- Graddy, K., 1993. "Testing for Imperfect Competition at the Fulton Fish Market," Papers 137, Princeton, Department of Economics - Financial Research Center.
- Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
- Susanne M. Schennach, 2005. "Bayesian exponentially tilted empirical likelihood," Biometrika, Biometrika Trust, vol. 92(1), pages 31-46, March.
- Yu, Keming & Moyeed, Rana A., 2001. "Bayesian quantile regression," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 437-447, October.
- Chernozhukov, Victor & Hansen, Christian, 2006. "Instrumental quantile regression inference for structural and treatment effect models," Journal of Econometrics, Elsevier, vol. 132(2), pages 491-525, June. Full references (including those not matched with items on IDEAS)