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Partially adaptive quantile estimators

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  • David J. Mauler
  • James B. McDonald
  • Logan C. Tatham

Abstract

This paper contrasts two approaches to estimating quantile regression models: traditional semi-parametric methods and partially adaptive estimators using flexible probability density functions (pdfs). While more general pdfs could have been used, the skewed Laplace was selected for pedagogical purposes. Monte Carlo simulations are used to compare the behavior of the semi-parametric and partially adaptive quantile estimators in the presence of possibly skewed and heteroskedastic data. Both approaches accommodate skewness and heteroskedasticity which are consistent with linear quantiles; however, the partially adaptive estimator considered allows for non linear quantiles and also provides simple tests for symmetry and heteroskedasticity. The methods are applied to the problem of estimating conditional quantile functions for wages corresponding to different levels of education.

Suggested Citation

  • David J. Mauler & James B. McDonald & Logan C. Tatham, 2017. "Partially adaptive quantile estimators," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(11), pages 5327-5341, June.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:11:p:5327-5341
    DOI: 10.1080/03610926.2015.1096391
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    Cited by:

    1. Ozcan, Burcu & Temiz, Mehmet & Gültekin Tarla, Esma, 2023. "The resource curse phenomenon in the case of precious metals: A panel evidence from top 19 exporting countries," Resources Policy, Elsevier, vol. 81(C).

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