Inference on the Quantile Regression Process

By Roger W. Koenker. 2000

459 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/21d04486e5eb497603db45cbb89cd6469f6a6bbd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Management Science and Operations Research

Citations in the corpus

Quantile Selection Models with an Application to Understanding Changes in Wage Inequality (2017, unknown): “[49] Koenker, R.”
Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score (2011, unknown): “First, as in the cross-sectional and differences-in-differences settings discussed by Hahn (1998), Heckman et al. (1998), Hirano, Imbens, and Ridder (2003), Abadie (2005), and Abadie and Imbens (2009), inference should allow for the fact that the propensity score is unknown and must be estimated.”
Comparing two independent groups via the lower and upper quantiles (2014, methodology): “Yet another way of comparing quantiles is via the quantile regression estimator derived by Koenker and Bassett [3] in conjunction with the rank inversion hypothesis testing technique studied by Koenker [4] (also see [5]).”
Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression (2015, unknown): “In general, the entire QR process is of interest because we would like to either test global hypotheses about conditional distributions or make comparisons across different quantiles (for a discussion about inference in QR models see Koenker and Xiao 2002 ).”
Assessing the Contribution of Banks, Insurance and Other Financial Services to Systemic Risk (2014, unknown): “There are two main solutions to restoring the asymptotic distribution-free character of the KS test (Koenker and Xiao, 2002).”
Quantile cointegration in the autoregressive distributed-lag modeling framework (2015, background): “It is well established that f̂τ` is a consistent estimator of fτ` , e.g., Koenker and Xiao (2002).”
Misspecification Testing in a Class of Conditional Distributional Models (2013, unknown): “In contrast, the tests for the LS and LSS specifications from Koenker and Xiao (2002) seem to be slightly conservative, particularly for n = 100.”
Linear quantile mixed models (2013, methodology): “In the case of independent observations, formal testing of location-shift and location-scale-shift hypotheses can be carried out, for example, by using Khmaladze-type tests (Koenker and Xiao 2002; Koenker 2005).”