The relationship between the absolute deviation from a quantile and Gini’s mean difference
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References listed on IDEAS
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731.
- Liang Peng, 2003. "Least absolute deviations estimation for ARCH and GARCH models," Biometrika, Biometrika Trust, vol. 90(4), pages 967-975, December.
- Frick, Joachim R. & Goebel, Jan & Schechtman, Edna & Wagner, Gert G. & Yitzhaki, Shlomo, 2006. "Using Analysis of Gini (ANOGI) for Detecting Whether Two Subsamples Represent the Same Universe: The German Socio-Economic Panel Study (SOEP) Experience," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 427-468.
- Frick, Joachim R. & Goebel, Jan & Schechtman, Edna & Wagner, Gert G. & Yitzhaki, Shlomo, 2004. "Using Analysis of Gini (ANoGi) for Detecting Whether Two Sub-Samples Represent the Same Universe: The SOEP Experience," IZA Discussion Papers 1049, Institute for the Study of Labor (IZA).
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- Ndéné Ka & Stéphane Mussard, 2015. "Book Review of The Gini Methodology: A Primer on a Statistical Methodology," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 13(2), pages 321-324, June.
- Shlomo Yitzhaki & Peter Lambert, 2014. "Is higher variance necessarily bad for investment?," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 855-860, November.
- Ndene Ka & Stephane Mussard, 2015. "l1 Regressions: Gini Estimators for Fixed Effects Panel Data," Cahiers de recherche 15-02, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke.
More about this item
KeywordsGMD; LAD; MAD; QUAD; C2; C10; C58;
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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