Tuesday, October 06, 2009

Quantile Regression

For those who want to follow up on the talk yesterday on Quantile Regressions here's a few handy references:

Quantile Regression: Applications and Current Research Areas: Keming Yu, Zudi Lu and Julian Stander, Journal of the Royal Statistical Society. Series D (The Statistician), Vol. 52, No. 3 (2003)
Quantile Regression, R Koenker & K Hallock, J Economic Perspectives, 15(4) 2001
Arias, Omar, Kevin Hallock and Walter Sosa-Escudero. 2001. “Individual Heterogeneity in the Returns to Schooling: Instrumental Variables Quantile Regression Using Twins Data.” Empirical Economics. March, 26:1, pp. 7–40.
Koenker, Roger and Kevin Hallock. 2000. “Quantile Regression: An Introduction.” Available at http://www.econ.uiuc.edu/;roger/research/intro/intro.html&.


Kevin Denny said...

Meant to include this also:
Earnings functions in Portugal 1982-1994: evidence from quantile regression (2001) J.Machado & J.Mata, Empirical Economics, 26: 115-134

Martin Ryan said...

I'm also a fan of the article by Chris Gowlland, Zhijie Xiao and Qi Zeng (Journal of Portfolio Mgmt. Spring 2009, Vol. 35, No. 3) that I blogged before -

Beyond the Central Tendency: Quantile Regression