Quantile Regression

Quantile Regression
Author: I. Gusti Ngurah Agung
Publisher: John Wiley & Sons
Total Pages: 496
Release: 2021-06-18
Genre: Mathematics
ISBN: 1119715180

QUANTILE REGRESSION A thorough presentation of Quantile Regression designed to help readers obtain richer information from data analyses The conditional least-square or mean-regression (MR) analysis is the quantitative research method used to model and analyze the relationships between a dependent variable and one or more independent variables, where each equation estimation of a regression can give only a single regression function or fitted values variable. As an advanced mean regression analysis, each estimation equation of the mean-regression can be used directly to estimate the conditional quantile regression (QR), which can quickly present the statistical results of a set nine QR(τ)s for τ(tau)s from 0.1 up to 0.9 to predict detail distribution of the response or criterion variable. QR is an important analytical tool in many disciplines such as statistics, econometrics, ecology, healthcare, and engineering. Quantile Regression: Applications on Experimental and Cross Section Data Using EViews provides examples of statistical results of various QR analyses based on experimental and cross section data of a variety of regression models. The author covers the applications of one-way, two-way, and n-way ANOVA quantile regressions, QRs with multi numerical predictors, heterogeneous QRs, and latent variables QRs, amongst others. Throughout the text, readers learn how to develop the best possible quantile regressions and how to conduct more advanced analysis using methods such as the quantile process, the Wald test, the redundant variables test, residual analysis, the stability test, and the omitted variables test. This rigorous volume: Describes how QR can provide a more detailed picture of the relationships between independent variables and the quantiles of the criterion variable, by using the least-square regression Presents the applications of the test for any quantile of any numerical response or criterion variable Explores relationship of QR with heterogeneity: how an independent variable affects a dependent variable Offers expert guidance on forecasting and how to draw the best conclusions from the results obtained Provides a step-by-step estimation method and guide to enable readers to conduct QR analysis using their own data sets Includes a detailed comparison of conditional QR and conditional mean regression Quantile Regression: Applications on Experimental and Cross Section Data Using EViews is a highly useful resource for students and lecturers in statistics, data analysis, econometrics, engineering, ecology, and healthcare, particularly those specializing in regression and quantitative data analysis.

Essays in Honor of Jerry Hausman

Essays in Honor of Jerry Hausman
Author: Badi H. Baltagi
Publisher: Emerald Group Publishing
Total Pages: 576
Release: 2012-12-17
Genre: Business & Economics
ISBN: 1781903077

Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.

Quantile Regression for Cross-Sectional and Time Series Data

Quantile Regression for Cross-Sectional and Time Series Data
Author: Jorge M. Uribe
Publisher: Springer
Total Pages: 63
Release: 2020-03-31
Genre: Business & Economics
ISBN: 9783030445034

This brief addresses the estimation of quantile regression models from a practical perspective, which will support researchers who need to use conditional quantile regression to measure economic relationships among a set of variables. It will also benefit students using the methodology for the first time, and practitioners at private or public organizations who are interested in modeling different fragments of the conditional distribution of a given variable. The book pursues a practical approach with reference to energy markets, helping readers learn the main features of the technique more quickly. Emphasis is placed on the implementation details and the correct interpretation of the quantile regression coefficients rather than on the technicalities of the method, unlike the approach used in the majority of the literature. All applications are illustrated with R.

Quantile Regression

Quantile Regression
Author: Marilena Furno
Publisher: John Wiley & Sons
Total Pages: 311
Release: 2018-07-18
Genre: Mathematics
ISBN: 111886364X

Contains an overview of several technical topics of Quantile Regression Volume two of Quantile Regression offers an important guide for applied researchers that draws on the same example-based approach adopted for the first volume. The text explores topics including robustness, expectiles, m-quantile, decomposition, time series, elemental sets and linear programming. Graphical representations are widely used to visually introduce several issues, and to illustrate each method. All the topics are treated theoretically and using real data examples. Designed as a practical resource, the book is thorough without getting too technical about the statistical background. The authors cover a wide range of QR models useful in several fields. The software commands in R and Stata are available in the appendixes and featured on the accompanying website. The text: Provides an overview of several technical topics such as robustness of quantile regressions, bootstrap and elemental sets, treatment effect estimators Compares quantile regression with alternative estimators like expectiles, M-estimators and M-quantiles Offers a general introduction to linear programming focusing on the simplex method as solving method for the quantile regression problem Considers time-series issues like non-stationarity, spurious regressions, cointegration, conditional heteroskedasticity via quantile regression Offers an analysis that is both theoretically and practical Presents real data examples and graphical representations to explain the technical issues Written for researchers and students in the fields of statistics, economics, econometrics, social and environmental science, this text offers guide to the theory and application of quantile regression models.

Quantile Regression

Quantile Regression
Author: Cristina Davino
Publisher: John Wiley & Sons
Total Pages: 288
Release: 2013-10-24
Genre: Mathematics
ISBN: 1118752716

A guide to the implementation and interpretation of Quantile Regression models This book explores the theory and numerous applications of quantile regression, offering empirical data analysis as well as the software tools to implement the methods. The main focus of this book is to provide the reader with a comprehensive description of the main issues concerning quantile regression; these include basic modeling, geometrical interpretation, estimation and inference for quantile regression, as well as issues on validity of the model, diagnostic tools. Each methodological aspect is explored and followed by applications using real data. Quantile Regression: Presents a complete treatment of quantile regression methods, including, estimation, inference issues and application of methods. Delivers a balance between methodolgy and application Offers an overview of the recent developments in the quantile regression framework and why to use quantile regression in a variety of areas such as economics, finance and computing. Features a supporting website (www.wiley.com/go/quantile_regression) hosting datasets along with R, Stata and SAS software code. Researchers and PhD students in the field of statistics, economics, econometrics, social and environmental science and chemistry will benefit from this book.

Handbook of Quantile Regression

Handbook of Quantile Regression
Author: Roger Koenker
Publisher: CRC Press
Total Pages: 463
Release: 2017-10-12
Genre: Mathematics
ISBN: 1498725295

Quantile regression constitutes an ensemble of statistical techniques intended to estimate and draw inferences about conditional quantile functions. Median regression, as introduced in the 18th century by Boscovich and Laplace, is a special case. In contrast to conventional mean regression that minimizes sums of squared residuals, median regression minimizes sums of absolute residuals; quantile regression simply replaces symmetric absolute loss by asymmetric linear loss. Since its introduction in the 1970's by Koenker and Bassett, quantile regression has been gradually extended to a wide variety of data analytic settings including time series, survival analysis, and longitudinal data. By focusing attention on local slices of the conditional distribution of response variables it is capable of providing a more complete, more nuanced view of heterogeneous covariate effects. Applications of quantile regression can now be found throughout the sciences, including astrophysics, chemistry, ecology, economics, finance, genomics, medicine, and meteorology. Software for quantile regression is now widely available in all the major statistical computing environments. The objective of this volume is to provide a comprehensive review of recent developments of quantile regression methodology illustrating its applicability in a wide range of scientific settings. The intended audience of the volume is researchers and graduate students across a diverse set of disciplines.