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Quantiles for Fractions and Other Mixed Data

  • Jose A. F. Machado
  • J. M. C. Santos Silva

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This paper studies the estimation of quantile regression for fractional data, focusing on the case where there are mass-points at zero or/and one. More generally, we propose a simple strategy for the estimation of the conditional quantiles of data from mixed distributions, which combines standard results on the estimation of censored and Box-Cox quantile regressions. The implementation of the proposed method is illustrated using a well-known dataset.

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File URL: http://www.essex.ac.uk/economics/discussion-papers/papers-text/dp656.pdf
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Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 656.

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Date of creation: 29 Jul 2008
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Handle: RePEc:esx:essedp:656
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Order Information: Postal: Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
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  1. J.A.F. Machado & J. M. C. Santos Silva, 2003. "Quantiles for Counts," Econometrics 0303001, EconWPA.
  2. Joshua Angrist & Victor Chernozhukov & Ivan Fernandez-Val, 2004. "Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure," NBER Working Papers 10428, National Bureau of Economic Research, Inc.
  3. Hong H. & Chernozhukov V., 2002. "Three-Step Censored Quantile Regression and Extramarital Affairs," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 872-882, September.
  4. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
  5. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
  6. Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
  7. Taisuke Otsu, 2009. "RESET for quantile regression," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 18(2), pages 381-391, August.
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