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Venue: | JOURNAL OF ECONOMIC PERSPECTIVES—VOLUME 15, NUMBER 4—FALL 2001—PAGES 143–156 |

Citations: | 983 - 10 self |

### Citations

3417 | Sample Selection Bias as a Specification Error", - Heckman - 1979 |

976 |
Male-Female Wage Differentials in Urban Labor Markets
- Oaxaca
- 1973
(Show Context)
Citation Context ...nal of Economic Perspectiues indicative of an interaction between observed educational attainment and unobserved ability. There is also a large literature dealing with related issues in labor markets outside the United States, including Fitzenberger (1999) on Germany; Machado and Mata (1999) on Portugal; Garcia, Hernandez and Lopez-Nicolas (2001) on Spain; Schultz and Mwabu (1998) on South Africa; and Kahn (1998) on international comparisons. The work of Machado and Mata (1999) is particularly notable since it introduces a useful way to extend the counterfactual wage decomposition approach of Oaxaca (1973) to quantile regression and provides a general strategy for simulating marginal distributions from the quantile regression process. Tannuri (2000) has employed this approach in a recent study of assimilation of U.S. immigrants. In other applied micro areas, Eide and Showalter (1998), Ihight, Bassett and Tam (2000) and Levin (2001) have addressed school quality issues. Poterba and Rueben (1995) and Mueller (2000) study public-private wage differentials in the United States and Canada. Abadie, Angrist and Imbens (2001) consider estimation of endogenous treatment effects in program evaluation, an... |

916 | Regression quantiles,
- Koenker, Bassett
- 1978
(Show Context)
Citation Context ... a student scores at the fib quantile of a standardized exam if he performs better than the proportion 7 of the reference group of students and worse than the proportion (1-7). Thus, half of students perform better than the median student and half perform worse. Similarly, the quartiles divide the population into four segments with equal proportions of the reference population in each segment. The quintiles divide the population into five parts; the deciles into ten parts. The quantiles, or percentiles, or occasionally fractiles, refer to the general case. Quantile regression as introduced by Koenker and Bassett (1978) seeks to extend these ideas to the estimation of conditional quantile functions-models in which quantiles of the conditional distribution of the response variable are expressed as functions of observed covariates. In Figure 1, we illustrate one approach to this task based on Tukey's boxplot (as in McGill, Tukey and Larsen, 1978). Annual compensation for the chief executive officer (CEO) is plotted as a function of firm's market value of equity. A sample of 1,660 firms was split into ten groups of equal size according to their market capitalization. For each group of 166 firms, we compute the ... |

466 | Nonparametrics: Statistical Methods Based on Ranks. - Lehmann - 1974 |

387 | The Analysis of Household Surveys. - Deaton - 1997 |

346 | Recent advances in quantile regression models: A practical guideline for empirical research, - Buchinsky - 1998 |

317 | http://links.jstor.org/sici?sici=0012-9682%28196107%2929%3A3%3C315%3AREATTO%3E2.0.CO%3B2-G The Output-Inflation Trade-off When Prices Are Costly to Change Michael Parkin The - URL - 1986 |

310 | 2005): “Counterfactual Decomposition of Changes in Wage Distributions using Quantile Regression
- Machado, Mata
(Show Context)
Citation Context ...eading impression of the union effect. Other contributions exploring these issues in the U.S. labor market include the influential work of Buchinsky (1994,1997). Arias, Hallock and Sosa-Escudero (2001), using data on identical twins, interpret observed heterogeneity in the estimated returns to education over quantiles as 152 Journal of Economic Perspectiues indicative of an interaction between observed educational attainment and unobserved ability. There is also a large literature dealing with related issues in labor markets outside the United States, including Fitzenberger (1999) on Germany; Machado and Mata (1999) on Portugal; Garcia, Hernandez and Lopez-Nicolas (2001) on Spain; Schultz and Mwabu (1998) on South Africa; and Kahn (1998) on international comparisons. The work of Machado and Mata (1999) is particularly notable since it introduces a useful way to extend the counterfactual wage decomposition approach of Oaxaca (1973) to quantile regression and provides a general strategy for simulating marginal distributions from the quantile regression process. Tannuri (2000) has employed this approach in a recent study of assimilation of U.S. immigrants. In other applied micro areas, Eide and Showalter (1... |

251 | CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles,
- Engle, Manganelli
- 2004
(Show Context)
Citation Context ...applications for quantile regression. Conley and Galenson (1998) explore wealth accumulation in several U.S. cities in the mid-nineteenth century. Gosling, Machin and Meghir (2000) study the income and wealth distribution in the United Kingdom. Trede (1998) and Morillo (2000) compare earnings mobility in the United States and Germany. There is also a growing literature in empirical finance employing quantile regression methods. One strand of this literature is the rapidly expanding literature on value at risk: this connection is developed in Taylor (1999), Chernozhukov and Umantsev (2001) and Engle and Manganelli (1999). Bassett and Chen (2001) consider quantile regression index models to characterize mutual fund investment styles. Roger Koenker and Keuin F. Hallock 153 Software and Standard Errors The diffusion of technological change throughout statistics is closely tied to its embodiment in statistical software. This is particularly true of quantile regression methods, since the linear programming algorithms that underlie reliable implementations of the methods appear somewhat esoteric to some users. Since the early 1950s, it has been recognized that median regression methods based on minimizing sums of a... |

228 | http://links.jstor.org/sici?sici=0034-6543%28197424%2944%3A1%3C1%3ATEOAIM%3E2.0.CO%3B2-L Characteristics of Media Selection Models - URL - 1982 |

199 |
Data Analysis and Regression: A Second Course in Statistics,
- Mosteller, Tukey
- 1977
(Show Context)
Citation Context ...pted for general quantile regression. Koenker and d'Orey (1987) describe one implementation. For large-scale quantile regression problems, Portnoy and Koenker (1997) have shown that a combination of interior point methods and effective preprocessing renders quantile regression computation competitive with least squares computations for problems of comparable size. 154 Journal of Economic Perspectiues Conclusion Much of applied statistics may be viewed as an elaboration of the linear regression model and associated estimation methods of least squares. In beginning to describe these techniques, Mosteller and Tukey (1977, p. 266) remark in their influential text: What the regression curve does is give a grand summary for the averages of the distributions corresponding to the set of x's. We could go further and compute several different regression curves corresponding to the various percentage points of the distributions and thus get a more complete picture of the set. Ordinarily this is not done, and so regression often gives a rather incomplete picture. Just as the mean gives an incomplete picture of a single distribution, so the regression curve gives a corresponding incomplete picture for a set of distribu... |

164 | Semiparametric Analysis of Discrete Response: Asymptotic Properties of the Maximum Score Estimator”, - Manski - 1985 |

154 | The new S language: A programming environment for data analysis and graphics. Boca - Becker, Chambers, et al. - 1988 |

110 | The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absoluteerror estimators,” - Portnoy, Koenker - 1997 |

106 | http://links.jstor.org/sici?sici=0022-0515%28199012%2928%3A4%3C1645%3AAQRCIM%3E2.0.CO%3B2-F Cyclical Unemployment: Sectoral Shifts or Aggregate Disturbances? Katharine - URL - 1986 |

97 | The Demand for Alcohol: The Differential Response to Price.” - Manning, Blumberg, et al. - 1995 |

91 | Individual heterogeneity in the returns to schooling: instrumental variables quantile regression using twins data. Empirical Economics, Special Issue on Economic Applications on Quantile Regressions. - Arias, Hallock, et al. - 2000 |

88 | The dynamics of changes in the female wage distribution in the USA: A quantile regression approach. - Buchinsky - 1998 |

78 | http://links.jstor.org/sici?sici=0162-1459%28198812%2983%3A404%3C1097%3ATFCT%3E2.0.CO%3B2-V Pensions, the Option Value of Work, and Retirement - URL - 1990 |

74 |
The Distribution of Public Sector Wage Premia: New Evidence Using Quantile Regression Methods,
- Poterba, Rueben
- 1994
(Show Context)
Citation Context ...on South Africa; and Kahn (1998) on international comparisons. The work of Machado and Mata (1999) is particularly notable since it introduces a useful way to extend the counterfactual wage decomposition approach of Oaxaca (1973) to quantile regression and provides a general strategy for simulating marginal distributions from the quantile regression process. Tannuri (2000) has employed this approach in a recent study of assimilation of U.S. immigrants. In other applied micro areas, Eide and Showalter (1998), Ihight, Bassett and Tam (2000) and Levin (2001) have addressed school quality issues. Poterba and Rueben (1995) and Mueller (2000) study public-private wage differentials in the United States and Canada. Abadie, Angrist and Imbens (2001) consider estimation of endogenous treatment effects in program evaluation, and Koenker and Billias (2001) explore quantile regression models for unemployment duration data. Work by Viscusi and Hamilton (1999) considers public decision making regarding hazardous waste cleanup. Deaton (1997) offers a nice introduction to quantile regression for demand analysis. In a study of Engel curves for food expenditure in Pakistan, he finds that although the median Engel elasticity... |

67 | http://links.jstor.org/sici?sici=0003-1224%28199210%2957%3A5%3C586%3AJSANCI%3E2.0.CO%3B2-L The Emergence of a Market Society: Changing Mechanisms of Stratification in China Victor - URL - 1996 |

65 | Hierarchical Spline Models for Conditional Quantiles and the Demand for Electricity - Hendricks, Koenker - 1992 |

59 | The effect of school quality on student performance: a quantile regression approach.
- Eide, Showalter
- 1998
(Show Context)
Citation Context ...chado and Mata (1999) on Portugal; Garcia, Hernandez and Lopez-Nicolas (2001) on Spain; Schultz and Mwabu (1998) on South Africa; and Kahn (1998) on international comparisons. The work of Machado and Mata (1999) is particularly notable since it introduces a useful way to extend the counterfactual wage decomposition approach of Oaxaca (1973) to quantile regression and provides a general strategy for simulating marginal distributions from the quantile regression process. Tannuri (2000) has employed this approach in a recent study of assimilation of U.S. immigrants. In other applied micro areas, Eide and Showalter (1998), Ihight, Bassett and Tam (2000) and Levin (2001) have addressed school quality issues. Poterba and Rueben (1995) and Mueller (2000) study public-private wage differentials in the United States and Canada. Abadie, Angrist and Imbens (2001) consider estimation of endogenous treatment effects in program evaluation, and Koenker and Billias (2001) explore quantile regression models for unemployment duration data. Work by Viscusi and Hamilton (1999) considers public decision making regarding hazardous waste cleanup. Deaton (1997) offers a nice introduction to quantile regression for demand analysis... |

59 | How Wide is The Gap? An Investigation of Gender Wage Differences Using Quantile Regression. - Garcia, Hernandez, et al. - 2001 |

58 | Estimating and visualizing conditional densities. - Hyndman, Bashtannyk, et al. - 1996 |

55 |
For Whom the Reductions Count? A Quantile Regression Analysis of Class Size and Peer Effects on Scholastic Achievement,
- Levin
- 2001
(Show Context)
Citation Context ...-Nicolas (2001) on Spain; Schultz and Mwabu (1998) on South Africa; and Kahn (1998) on international comparisons. The work of Machado and Mata (1999) is particularly notable since it introduces a useful way to extend the counterfactual wage decomposition approach of Oaxaca (1973) to quantile regression and provides a general strategy for simulating marginal distributions from the quantile regression process. Tannuri (2000) has employed this approach in a recent study of assimilation of U.S. immigrants. In other applied micro areas, Eide and Showalter (1998), Ihight, Bassett and Tam (2000) and Levin (2001) have addressed school quality issues. Poterba and Rueben (1995) and Mueller (2000) study public-private wage differentials in the United States and Canada. Abadie, Angrist and Imbens (2001) consider estimation of endogenous treatment effects in program evaluation, and Koenker and Billias (2001) explore quantile regression models for unemployment duration data. Work by Viscusi and Hamilton (1999) considers public decision making regarding hazardous waste cleanup. Deaton (1997) offers a nice introduction to quantile regression for demand analysis. In a study of Engel curves for food expenditure... |

47 | Collective Bargaining and Interindustry Wage Structure: International Evidence. - Kahn - 1998 |

46 | Labor Unions and the Distribution of Wages and Employment - P, Mwabu - 1998 |

37 |
Conditional value-atrisk: aspects of modeling and estimation.
- Chernozhukov, Umantsev
- 2001
(Show Context)
Citation Context ...y and mobility is a natural arena of applications for quantile regression. Conley and Galenson (1998) explore wealth accumulation in several U.S. cities in the mid-nineteenth century. Gosling, Machin and Meghir (2000) study the income and wealth distribution in the United Kingdom. Trede (1998) and Morillo (2000) compare earnings mobility in the United States and Germany. There is also a growing literature in empirical finance employing quantile regression methods. One strand of this literature is the rapidly expanding literature on value at risk: this connection is developed in Taylor (1999), Chernozhukov and Umantsev (2001) and Engle and Manganelli (1999). Bassett and Chen (2001) consider quantile regression index models to characterize mutual fund investment styles. Roger Koenker and Keuin F. Hallock 153 Software and Standard Errors The diffusion of technological change throughout statistics is closely tied to its embodiment in statistical software. This is particularly true of quantile regression methods, since the linear programming algorithms that underlie reliable implementations of the methods appear somewhat esoteric to some users. Since the early 1950s, it has been recognized that median regression metho... |

35 |
Are Risk Regulators Rational? Evidence from Hazardous Waste Cleanup Decisions."
- Viscusi, Hamilton
- 1999
(Show Context)
Citation Context ...uantile regression process. Tannuri (2000) has employed this approach in a recent study of assimilation of U.S. immigrants. In other applied micro areas, Eide and Showalter (1998), Ihight, Bassett and Tam (2000) and Levin (2001) have addressed school quality issues. Poterba and Rueben (1995) and Mueller (2000) study public-private wage differentials in the United States and Canada. Abadie, Angrist and Imbens (2001) consider estimation of endogenous treatment effects in program evaluation, and Koenker and Billias (2001) explore quantile regression models for unemployment duration data. Work by Viscusi and Hamilton (1999) considers public decision making regarding hazardous waste cleanup. Deaton (1997) offers a nice introduction to quantile regression for demand analysis. In a study of Engel curves for food expenditure in Pakistan, he finds that although the median Engel elasticity of 0.906 is similar to the ordinary least squares estimate of 0.909, the coefficient at the tenth quantile is 0.879 and the estimate at the 90th percentile is 0.946, indicating a pattern of heteroskedasticity like that of our Figure 3. In another demand application, Manning, Blumberg and Moulton (1995) study demand for alcohol using... |

32 | The effects of demographics and maternal behavior on the distribution of birth outcomes. - Abrevaya - 2001 |

21 | Quantile regression for duration data: a reappraisal of the Pennsylvania reemployment bonus experiments. - Koenker, Bilias - 2001 |

19 | http://links.jstor.org/sici?sici=0035-9246%281965%2927%3A3%3C497%3AATPGP%3E2.0.CO%3B2-A On Estimating Epidemic Parameters from Household Data Sally - URL - 1964 |

17 | BlLIAS (2001): "Quantile Regression for Duration Data: A Reappraisal of the Pennsylvania Reemployment Bonus Experiments," Empirical Economics, to appear, also at http : //www . econ . uiuc . edu/'roger/research/home . html - KOENKER, Y |

17 |
A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns."
- Taylor
- 1999
(Show Context)
Citation Context ...nings inequality and mobility is a natural arena of applications for quantile regression. Conley and Galenson (1998) explore wealth accumulation in several U.S. cities in the mid-nineteenth century. Gosling, Machin and Meghir (2000) study the income and wealth distribution in the United Kingdom. Trede (1998) and Morillo (2000) compare earnings mobility in the United States and Germany. There is also a growing literature in empirical finance employing quantile regression methods. One strand of this literature is the rapidly expanding literature on value at risk: this connection is developed in Taylor (1999), Chernozhukov and Umantsev (2001) and Engle and Manganelli (1999). Bassett and Chen (2001) consider quantile regression index models to characterize mutual fund investment styles. Roger Koenker and Keuin F. Hallock 153 Software and Standard Errors The diffusion of technological change throughout statistics is closely tied to its embodiment in statistical software. This is particularly true of quantile regression methods, since the linear programming algorithms that underlie reliable implementations of the methods appear somewhat esoteric to some users. Since the early 1950s, it has been recog... |

14 | Nativity and Wealth in Mid-Nineteenth Century Cities. - Conley, Galenson - 1998 |

14 |
Making Mobility Visible: A Graphical Device."
- Trede
- 1998
(Show Context)
Citation Context ...alcohol using survey data from the National Health Interview Study and find considerable heterogeneity in the price and income elasticities over the full range of the conditional distribution. Hendricks and Koenker (1992) investigate demand for electricity by time of day using a hierarchical model. Earnings inequality and mobility is a natural arena of applications for quantile regression. Conley and Galenson (1998) explore wealth accumulation in several U.S. cities in the mid-nineteenth century. Gosling, Machin and Meghir (2000) study the income and wealth distribution in the United Kingdom. Trede (1998) and Morillo (2000) compare earnings mobility in the United States and Germany. There is also a growing literature in empirical finance employing quantile regression methods. One strand of this literature is the rapidly expanding literature on value at risk: this connection is developed in Taylor (1999), Chernozhukov and Umantsev (2001) and Engle and Manganelli (1999). Bassett and Chen (2001) consider quantile regression index models to characterize mutual fund investment styles. Roger Koenker and Keuin F. Hallock 153 Software and Standard Errors The diffusion of technological change throughou... |

12 | The Changing Distribution of Male Wages in the U.K." Review ofEconomic StudKnight, - Gosling, Machin, et al. - 2000 |

11 | Solution of an overdetermined system of equations - Barrodale, Roberts - 1974 |

8 | Quantile style: return-based attribution using regression quantiles - Bassett, Chen - 2001 |

8 | Wages and Employment across Skill Groups - Fitzenberger - 1999 |

8 |
Public- and Private-Sector Wage Differentials in Canada Revisited."
- Mueller
- 2000
(Show Context)
Citation Context ...8) on international comparisons. The work of Machado and Mata (1999) is particularly notable since it introduces a useful way to extend the counterfactual wage decomposition approach of Oaxaca (1973) to quantile regression and provides a general strategy for simulating marginal distributions from the quantile regression process. Tannuri (2000) has employed this approach in a recent study of assimilation of U.S. immigrants. In other applied micro areas, Eide and Showalter (1998), Ihight, Bassett and Tam (2000) and Levin (2001) have addressed school quality issues. Poterba and Rueben (1995) and Mueller (2000) study public-private wage differentials in the United States and Canada. Abadie, Angrist and Imbens (2001) consider estimation of endogenous treatment effects in program evaluation, and Koenker and Billias (2001) explore quantile regression models for unemployment duration data. Work by Viscusi and Hamilton (1999) considers public decision making regarding hazardous waste cleanup. Deaton (1997) offers a nice introduction to quantile regression for demand analysis. In a study of Engel curves for food expenditure in Pakistan, he finds that although the median Engel elasticity of 0.906 is simila... |

7 | http://links.jstor.org/sici?sici=0883-4237%28199711%2912%3A4%3C279%3ATGHATL%3E2.0.CO%3B2-9 Labor Unions and the Distribution of Wages and Employment in South Africa T. Paul Schultz; - URL - 1998 |

6 | Solution of an over determined system - Barrodale, Roberts - 1974 |

6 |
Variations of Box Plots."
- Larsen
- 1978
(Show Context)
Citation Context ...ortions of the reference population in each segment. The quintiles divide the population into five parts; the deciles into ten parts. The quantiles, or percentiles, or occasionally fractiles, refer to the general case. Quantile regression as introduced by Koenker and Bassett (1978) seeks to extend these ideas to the estimation of conditional quantile functions-models in which quantiles of the conditional distribution of the response variable are expressed as functions of observed covariates. In Figure 1, we illustrate one approach to this task based on Tukey's boxplot (as in McGill, Tukey and Larsen, 1978). Annual compensation for the chief executive officer (CEO) is plotted as a function of firm's market value of equity. A sample of 1,660 firms was split into ten groups of equal size according to their market capitalization. For each group of 166 firms, we compute the three quartiles of CEO compensation: salary, bonus and other compensation, including stock options (as valued by the Black-Scholesformula at the time of the grant). For each group, the bow-tie-like box represents the middle half of the salary distribution lying between the first and third quartiles. The horizontal line near the m... |

5 | Quantile Regression: An Introduction." Available at (http://m~.econ.uiuc.edu/-roger/ research/intro/intro.html). - Koenker, Hdock - 2000 |

4 |
Income Mobility with Nonparametric Quantiles: A Comparison of the U.S. and Germany."
- Morillo
- 2000
(Show Context)
Citation Context ...vey data from the National Health Interview Study and find considerable heterogeneity in the price and income elasticities over the full range of the conditional distribution. Hendricks and Koenker (1992) investigate demand for electricity by time of day using a hierarchical model. Earnings inequality and mobility is a natural arena of applications for quantile regression. Conley and Galenson (1998) explore wealth accumulation in several U.S. cities in the mid-nineteenth century. Gosling, Machin and Meghir (2000) study the income and wealth distribution in the United Kingdom. Trede (1998) and Morillo (2000) compare earnings mobility in the United States and Germany. There is also a growing literature in empirical finance employing quantile regression methods. One strand of this literature is the rapidly expanding literature on value at risk: this connection is developed in Taylor (1999), Chernozhukov and Umantsev (2001) and Engle and Manganelli (1999). Bassett and Chen (2001) consider quantile regression index models to characterize mutual fund investment styles. Roger Koenker and Keuin F. Hallock 153 Software and Standard Errors The diffusion of technological change throughout statistics is clo... |

4 | Labour Unions and the Distribution of Wages and Employment in South Africa. Unpublished Paper, Yale University.
- Mwabu, Schultz
- 1997
(Show Context)
Citation Context ....S. labor market include the influential work of Buchinsky (1994,1997). Arias, Hallock and Sosa-Escudero (2001), using data on identical twins, interpret observed heterogeneity in the estimated returns to education over quantiles as 152 Journal of Economic Perspectiues indicative of an interaction between observed educational attainment and unobserved ability. There is also a large literature dealing with related issues in labor markets outside the United States, including Fitzenberger (1999) on Germany; Machado and Mata (1999) on Portugal; Garcia, Hernandez and Lopez-Nicolas (2001) on Spain; Schultz and Mwabu (1998) on South Africa; and Kahn (1998) on international comparisons. The work of Machado and Mata (1999) is particularly notable since it introduces a useful way to extend the counterfactual wage decomposition approach of Oaxaca (1973) to quantile regression and provides a general strategy for simulating marginal distributions from the quantile regression process. Tannuri (2000) has employed this approach in a recent study of assimilation of U.S. immigrants. In other applied micro areas, Eide and Showalter (1998), Ihight, Bassett and Tam (2000) and Levin (2001) have addressed school quality issues.... |

4 |
Are the Assimilation Processes of Low and High Income Immigrants Distinct? A Quantile Regression Approach."
- Tannuri
- 2000
(Show Context)
Citation Context ...iterature dealing with related issues in labor markets outside the United States, including Fitzenberger (1999) on Germany; Machado and Mata (1999) on Portugal; Garcia, Hernandez and Lopez-Nicolas (2001) on Spain; Schultz and Mwabu (1998) on South Africa; and Kahn (1998) on international comparisons. The work of Machado and Mata (1999) is particularly notable since it introduces a useful way to extend the counterfactual wage decomposition approach of Oaxaca (1973) to quantile regression and provides a general strategy for simulating marginal distributions from the quantile regression process. Tannuri (2000) has employed this approach in a recent study of assimilation of U.S. immigrants. In other applied micro areas, Eide and Showalter (1998), Ihight, Bassett and Tam (2000) and Levin (2001) have addressed school quality issues. Poterba and Rueben (1995) and Mueller (2000) study public-private wage differentials in the United States and Canada. Abadie, Angrist and Imbens (2001) consider estimation of endogenous treatment effects in program evaluation, and Koenker and Billias (2001) explore quantile regression models for unemployment duration data. Work by Viscusi and Hamilton (1999) considers publ... |

3 | Structure 1963–1987: An Application of Quantile Regression - Wage |

3 | Quantile regression software. Available at http://www.econ.uiuc.edu/~roger/my.html. referenced 10/5/07 - Koenker - 1995 |

3 | Computing Regression Quantiles.” Applied Statistics 36: 383–393 and 43 - Koenker, d’Orey - 1993 |

2 | Quantile regression," in XploRe Application Guide - Cizek - 2000 |

2 | Regression quantile and regression rank score process in the linear model and derived statistics - unknown authors - 1991 |

1 | Angrist and Guido Imbens. 2001. “Instrumental Variables Estimation of Quantile Treatment Effects.” Econometrica. Forthcoming - Abadie, Joshua |

1 | of Fit and Related Inference Processes for Quantile Regression - “Goodness |

1 |
156 Journal of Economic Perspectives "The Gaussian Hare and the Laplacian Tortoise: Computability of Squared-Error Versus Absolute-Error Estimators, with Discussion."
- Portnoy, Koenker
- 1997
(Show Context)
Citation Context ...eas. Some of these developments have been slow to percolate into standard econometric software. With the notable exceptions of Stata and Xplore (Cizek, 2000) and the packages available from the web for Splus and R, none of the implementations of quantile regression in econometric software packages include any functionality for inference. The median regression algorithm of Barrodale and Roberts (1974) has proven particularly influential and can be easily adapted for general quantile regression. Koenker and d'Orey (1987) describe one implementation. For large-scale quantile regression problems, Portnoy and Koenker (1997) have shown that a combination of interior point methods and effective preprocessing renders quantile regression computation competitive with least squares computations for problems of comparable size. 154 Journal of Economic Perspectiues Conclusion Much of applied statistics may be viewed as an elaboration of the linear regression model and associated estimation methods of least squares. In beginning to describe these techniques, Mosteller and Tukey (1977, p. 266) remark in their influential text: What the regression curve does is give a grand summary for the averages of the distributions cor... |

1 | Theory of Rank Tests - ak - 1967 |

1 | Quantile Regression, forthcoming - Koenker - 2002 |

1 | Instrumental Variables Estiina- "Quantile Style: Return-Based Attribution Using tion of Quantile Treatment Effects." Economet- Regression Quantiles." - Abadie, Angrist, et al. - 2001 |

1 |
The Effects of Deino- Becker, Richard, John Chambers and Man graphics and Maternal Behavior on the Distribu- Wilks.
- Abrevaya
- 2001
(Show Context)
Citation Context .... In intermediate cases, we may wish to project these cell estimates onto a more parsimonious (linear) model; see Chamberlain (1994) and Knight, Bassett and Tam (2000) for examples of this approach. Another variant is 148 Journal of Economic Perspectives the suggestion that instead of estimating linear conditional quantile models, we could instead estimate a family of binary response models for the probability that the response variable exceeded some prespecified cutoff values.' Quantile Regression and Determinants of Infant Birthweight In this section, we reconsider a recent investigation by Abrevaya (2001) of the impact of various demographic characteristics and maternal behavior on the birthweight of infants born in the United States. Low birthweight is known to be associated with a wide range of subsequent health problems and has even been linked to educational attainment and eventual labor market outcomes. Consequently, there has been considerable interest in factors influencing birthweights and public policy initiatives that might prove effective in reducing the incidence of low-birthweight infants, which is conventionally defined by whether infants weigh less than 2500 grams at birth, abou... |

1 | Changes in - Arias, Hallock, et al. - 1994 |

1 |
Quantile Regression," in XploRe Application a i d e
- Cizek
- 2000
(Show Context)
Citation Context ...ications in labor economics. We find that the discrepancies among competing methods are slight, and inference for quantile regression is, if anything, more robust than for most other forms of inference commonly encountered in econometrics. Koenker and Hallock (2000) describe this exercise in more detail and provide a brief survey of recent work on quantile regression for discrete data models, time series, nonparametric models and a variety of other areas. Some of these developments have been slow to percolate into standard econometric software. With the notable exceptions of Stata and Xplore (Cizek, 2000) and the packages available from the web for Splus and R, none of the implementations of quantile regression in econometric software packages include any functionality for inference. The median regression algorithm of Barrodale and Roberts (1974) has proven particularly influential and can be easily adapted for general quantile regression. Koenker and d'Orey (1987) describe one implementation. For large-scale quantile regression problems, Portnoy and Koenker (1997) have shown that a combination of interior point methods and effective preprocessing renders quantile regression computation compet... |

1 |
Natirity and Wealth
- Conley, Galenson
- 1998
(Show Context)
Citation Context ...9 and the estimate at the 90th percentile is 0.946, indicating a pattern of heteroskedasticity like that of our Figure 3. In another demand application, Manning, Blumberg and Moulton (1995) study demand for alcohol using survey data from the National Health Interview Study and find considerable heterogeneity in the price and income elasticities over the full range of the conditional distribution. Hendricks and Koenker (1992) investigate demand for electricity by time of day using a hierarchical model. Earnings inequality and mobility is a natural arena of applications for quantile regression. Conley and Galenson (1998) explore wealth accumulation in several U.S. cities in the mid-nineteenth century. Gosling, Machin and Meghir (2000) study the income and wealth distribution in the United Kingdom. Trede (1998) and Morillo (2000) compare earnings mobility in the United States and Germany. There is also a growing literature in empirical finance employing quantile regression methods. One strand of this literature is the rapidly expanding literature on value at risk: this connection is developed in Taylor (1999), Chernozhukov and Umantsev (2001) and Engle and Manganelli (1999). Bassett and Chen (2001) consider qu... |

1 |
The Analysis ofHousehold Surueys.
- Deaton
- 1997
(Show Context)
Citation Context ...ilation of U.S. immigrants. In other applied micro areas, Eide and Showalter (1998), Ihight, Bassett and Tam (2000) and Levin (2001) have addressed school quality issues. Poterba and Rueben (1995) and Mueller (2000) study public-private wage differentials in the United States and Canada. Abadie, Angrist and Imbens (2001) consider estimation of endogenous treatment effects in program evaluation, and Koenker and Billias (2001) explore quantile regression models for unemployment duration data. Work by Viscusi and Hamilton (1999) considers public decision making regarding hazardous waste cleanup. Deaton (1997) offers a nice introduction to quantile regression for demand analysis. In a study of Engel curves for food expenditure in Pakistan, he finds that although the median Engel elasticity of 0.906 is similar to the ordinary least squares estimate of 0.909, the coefficient at the tenth quantile is 0.879 and the estimate at the 90th percentile is 0.946, indicating a pattern of heteroskedasticity like that of our Figure 3. In another demand application, Manning, Blumberg and Moulton (1995) study demand for alcohol using survey data from the National Health Interview Study and find considerable hetero... |

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Wages and Employment Across Skill Croups.
- Fitzenberger
- 1999
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Citation Context ...odel thus delivers a rather misleading impression of the union effect. Other contributions exploring these issues in the U.S. labor market include the influential work of Buchinsky (1994,1997). Arias, Hallock and Sosa-Escudero (2001), using data on identical twins, interpret observed heterogeneity in the estimated returns to education over quantiles as 152 Journal of Economic Perspectiues indicative of an interaction between observed educational attainment and unobserved ability. There is also a large literature dealing with related issues in labor markets outside the United States, including Fitzenberger (1999) on Germany; Machado and Mata (1999) on Portugal; Garcia, Hernandez and Lopez-Nicolas (2001) on Spain; Schultz and Mwabu (1998) on South Africa; and Kahn (1998) on international comparisons. The work of Machado and Mata (1999) is particularly notable since it introduces a useful way to extend the counterfactual wage decomposition approach of Oaxaca (1973) to quantile regression and provides a general strategy for simulating marginal distributions from the quantile regression process. Tannuri (2000) has employed this approach in a recent study of assimilation of U.S. immigrants. In other applie... |

1 | Pedro Hernandez and Angel Lopez-Nicolas.2001. "Horv Wide is the Gap? An Investigation of Gender Wage Differences Using Quantile Regression." Empirical Economics. - Garcia |

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Comparing Quantile Estimators for the Linear Model."
- Tam
- 2000
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Citation Context ... selection. In contrast, segmenting the sample into subsets defined according to the conditioning covariates is always a valid option. Indeed, such local fitting underlies all nonparametric quantile regression approaches. In the most extreme cases, we have p distinct cells corresponding to different settings of the covariate vector, x, and quantile regression reduces simply to computing ordinary univariate quantiles for each of these cells. In intermediate cases, we may wish to project these cell estimates onto a more parsimonious (linear) model; see Chamberlain (1994) and Knight, Bassett and Tam (2000) for examples of this approach. Another variant is 148 Journal of Economic Perspectives the suggestion that instead of estimating linear conditional quantile models, we could instead estimate a family of binary response models for the probability that the response variable exceeded some prespecified cutoff values.' Quantile Regression and Determinants of Infant Birthweight In this section, we reconsider a recent investigation by Abrevaya (2001) of the impact of various demographic characteristics and maternal behavior on the birthweight of infants born in the United States. Low birthweight is ... |

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Quantile Regression Software." Available at
- Koenker
- 1995
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Citation Context ... programming problems and efficiently solved with some form of the simplex algorithm." Among commercial programs in common use in econometrics, Stata and TSP offer some basic functionality for quantile regression within the central core of the package distributed by the vendor. Since the mid-1980s, one of us has maintained a public domain package of quantile regression software designed for the S language of Becker, Chambers and Wilks (1988) and the related commercial package Splus. Recently, this package has been extended to provide a version for R, the impressive public domain dialect of S (Koenker, 1995). This website also provides quantile regression software for Ox and Matlab languages. It is a basic principle of sound econometrics that e u q serious estimate deserves a reliable assessment of precision. There is now an extensive literature on the asymptotic behavior of quantile regression estimators and considerable experience with inference methods based on this theory, as well as a variety of resampling schemes. We have recently undertaken a comparison of several approaches to the construction of confidence intervals for a problem typical of current applications in labor economics. We fin... |

1 | 229: Computing Regression Quantiles Roger W. Koenker; Vasco D'Orey - AS - 1987 |

1 | The Gaussian Hare and the Laplacian Tortoise: Computability of Squared- Error versus Absolute-Error Estimators Stephen Portnoy; - URL - 1997 |