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Quantile regression

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  • Čížek, Pavel

Abstract

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Suggested Citation

  • Čížek, Pavel, 1999. "Quantile regression," SFB 373 Discussion Papers 1999,78, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  • Handle: RePEc:zbw:sfb373:199978
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    File URL: https://www.econstor.eu/bitstream/10419/61696/1/722398506.pdf
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    References listed on IDEAS

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    1. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.
    2. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    3. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    4. Ingolf Dittmann, 2001. "Fractional cointegration of voting and non-voting shares," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 321-332.
    5. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
    6. Enders, Walter & Siklos, Pierre L, 2001. "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-176, April.
    7. Jörg Breitung & Christian Wulff, 2001. "Non-linear Error Correction and the Efficient Market Hypothesis: The Case of German Dual-Class Shares," German Economic Review, Verein für Socialpolitik, vol. 2(4), pages 419-434, November.
    8. repec:bla:restud:v:57:y:1990:i:1:p:99-125 is not listed on IDEAS
    9. Gardiol, Lucien & Gibson-Asner, Rajna & Tuchschmid, Nils S., 1997. "Are liquidity and corporate control priced by shareholders? Empirical evidence from Swiss dual class shares," Journal of Corporate Finance, Elsevier, vol. 3(4), pages 299-323, December.
    10. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    11. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
    12. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    13. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
    14. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
    15. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    16. repec:bpj:zfbrbw:v:5:y:1993:i:1:p:23-31:n:4 is not listed on IDEAS
    17. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    18. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    19. Roger M. Kunz & James J. Angel, 1996. "Factors Affecting the Value of Stock Voting Rights: Evidence from the Swiss Equity Market," Financial Management, Financial Management Association, vol. 25(3), Fall.
    20. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
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    Cited by:

    1. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275, March.

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