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Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression

In: Econometric Methods and Their Applications in Finance, Macro and Related Fields

Author

Listed:
  • Anil K. Bera
  • Antonio F. Galvao Jr.
  • Gabriel V. Montes-Rojas
  • Sung Y. Park

Abstract

The following sections are included:IntroductionMaximum Likelihood and Maximum EntropyA Z-estimator for Quantile RegressionMonte Carlo SimulationsEmpirical Illustration: The Effect of Job Training on WagesConclusionsAppendixReferences

Suggested Citation

  • Anil K. Bera & Antonio F. Galvao Jr. & Gabriel V. Montes-Rojas & Sung Y. Park, 2014. "Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression," World Scientific Book Chapters, in: Kaddour Hadri & William Mikhail (ed.), Econometric Methods and Their Applications in Finance, Macro and Related Fields, chapter 7, pages 167-199, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814513470_0007
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    2. Andrew Friedson & Thomas Kniesner, 2012. "Losers and losers: Some demographics of medical malpractice tort reforms," Journal of Risk and Uncertainty, Springer, vol. 45(2), pages 115-133, October.

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