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User profiles for author:"Roger Koenker"

Roger Koenker

McKinley Professor of Economics and Professor of Statistics, UIUC
Verified email at uiuc.edu
Cited by 13206

Regression quantiles

[PDF] from stanford.edu
R Koenker… - Econometrica: journal of the Econometric Society, 1978 - JSTOR
A simple minimization problem yielding the ordinary sample quantiles in the location model
is shown to generalize naturally to the linear model generating a new class of statistics we
term" regression quantiles." The estimator which minimizes the sum of absolute residuals ...
Cited by 4168 - Related articles - Get it from MIT Libraries - All 17 versions

[BOOK] Quantile regression

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R Koenker - 2005 - books.google.com
Quantile regression is gradually emerging as a unified statistical methodology for estimating
models of conditional quantile functions. This monograph is the first comprehensive
treatment of the subject, encompassing models that are linear and nonlinear, parametric ...
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Quantile regression

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R Koenker… - The Journal of Economic Perspectives, 2001 - JSTOR
W^ T e say that a student scores at the rth quantile of a standardized exam if he performs
better than the proportion T of the reference group of students and worse than the proportion
(1-T). Thus, half of students perform better than the median student and half perform worse ...
Cited by 1469 - Related articles - BL Direct - All 30 versions

Robust tests for heteroscedasticity based on regression quantiles

R Koenker… - Econometrica: Journal of the Econometric Society, 1982 - JSTOR
A new class of tests for heteroscedasticity in linear models based on the regression quantile
statistics of Koenker and Bassett [17] is introduced. In contrast to classical methods based on
least-squares residuals, the new tests are robust to departures from Gaussian hypotheses ...
Cited by 544 - Related articles - Get it from MIT Libraries - All 7 versions

A note on studentizing a test for heteroscedasticity

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R Koenker - Journal of Econometrics, 1981 - Elsevier
Abstract Breusch and Pagan (1979) have recently proposed a convenient test for
heteroscedasticity in general linear models. This note derives the asymptotic distribution of
their test under sequences of contiguous alternatives to the null hypothesis of ...
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Goodness of fit and related inference processes for quantile regression

[PDF] from temple.edu
R Koenker… - Journal of the american statistical association, 1999 - JSTOR
We introduce a goodness-of-fit process for quantile regression analogous to the
conventional R2 statistic of least squares regression. Several related inference processes
designed to test composite hypotheses about the combined effect of several covariates ...
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Quantile regression for longitudinal data

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R Koenker - Journal of Multivariate Analysis, 2004 - Elsevier
The penalized least squares interpretation of the classical random effects estimator suggests
a possible way forward for quantile regression models with a large number of “fixed effects”.
The introduction of a large number of individual fixed effects can significantly inflate the ...
Cited by 206 - Related articles - All 14 versions

An Empirical Quantile Function for Linear Models with| operatornameiid Errors

G Bassett Jr… - Journal of the American Statistical Association, 1982 - JSTOR
The regression quantile statistics of Koenker and Bassett (1978) are employed to construct
an estimate of the error quantile function in linear models with iid errors. Some finite sample
properties and the asymptotic behavior of the proposed estimator are derived. ...
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Inference on the quantile regression process

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R Koenker… - Econometrica, 2002 - Wiley Online Library
2. Abstract Tests based on the quantile regression process can be formulated like the
classical Kolmogorov–Smirnov and Cramér–von–Mises tests of goodness–of–fit employing
the theory of Bessel processes as in Kiefer (1959). However, it is frequently desirable to ...
Cited by 172 - Related articles - Library Search - BL Direct - All 22 versions

An interior point algorithm for nonlinear quantile regression

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R Koenker… - Journal of Econometrics, 1996 - Elsevier
A new algorithm for computing quantile regression estimates for problems in which the
response function is nonlinear in parameters is described. The nonlinear l1 estimation
problem is a special (median) case. The algorithm is closely related to recent ...
Cited by 151 - Related articles - Library Search - All 16 versions

Tests of Linear Hypotheses and l" 1 Estimation

R Koenker… - Econometrica: Journal of the Econometric Society, 1982 - JSTOR
ALTHOUGH 1 ESTIMATION METHODS based on minimizing sums of absolute residuals
have a long history in econometrics, a serious limitation to their wider application has been
the lack of any 11 hypothesis testing apparatus comparable to classical least squares ...
Cited by 143 - Related articles - Get it from MIT Libraries - All 8 versions

[PDF] Reappraising Medfly Longevity

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R Koenker… - Journal of the American Statistical Association, 2001 - ASA
In this article we explore the usefulness of a quantile regression formulation of reanalyzing a
large experimental study that monitored age-specific mortality in a sample of roughly 1.2
million Mediterranean fruit flies. The quantile regression approach appears useful in ...
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Conditional quantile estimation and inference for ARCH models

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R Koenker… - Econometric Theory, 1996 - Cambridge Univ Press
Quantile regression methods are suggested for a class of ARCH models. Because
conditional quantiles are readily interpretable in semiparametric ARCH models and are
inherendy easier to estimate robustly than population moments, they offer some ...
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[PDF] Confidence intervals for regression quantiles

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R Koenker - Asymptotic statistics, 1994 - econ.uiuc.edu
Abstract. Several methods to construct con dence intervals for regression quantile estimators
(Koenker and Bassett (1978)) are reviewed. Direct estimation of the asymptotic covariance
matrix requires an estimate of the reciprocal of the error density (sparsity function) at the ...
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Quantile Regression (Econometric Society Monographs)

R Koenker - 2005 - citeulike.org
Abstract Quantile regression is gradually emerging as a unified statistical methodology for
estimating models of conditional quantile functions. This monograph is the first
comprehensive treatment of the subject, encompassing models that are linear and ...
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[PDF] Quantile autoregression

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R Koenker… - Journal of the American Statistical Association, 2006 - ASA
We consider quantile autoregression (QAR) models in which the autoregressive coefficients
can be expressed as monotone functions of a single, scalar random variable. The models
can capture systematic influences of conditioning variables on the location, scale, and ...
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Robust methods in econometrics

K Roger - Econometric Reviews, 1982 - Taylor & Francis
This survey of recent developments in robust estimation and inference is directed primarily
toward econometricians. It is argued that many of the techniques in common use in
econometrics are highly sensitive to unverified hypotheses. Recent progress in designing ...
Cited by 85 - Related articles - Get it from MIT Libraries - All 5 versions

Product differentiation, monopolistic competition, and public policy

RW Koenker… - The Bell Journal of Economics, 1981 - JSTOR
Page 1. Product differentiation, monopolistic competition, and public policy Roger W.
Koenker* and Martin K. Perry** This paper generalizes a model of monopolistic
competition attributable to Spence (1976). Firms produce symmetrically ...
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Quantile regression for duration data: a reappraisal of the Pennsylvania reemployment bonus experiments

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R Koenker… - Empirical Economics, 2001 - Springer
Abstract. We argue that quantile regression methods can play a constructive role in the
analysis of duration (survival) data offering a more flexible, more complete analysis than is
typically available with more conventional methods. We illustrate the approach with a ...
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[CITATION] Quantreg: quantile regression. R package version 4.10

R Koenker - 2007
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Quantile regression methods for recursive structural equation models

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L Ma… - Journal of Econometrics, 2006 - Elsevier
Two classes of quantile regression estimation methods for the recursive structural equation
models of Chesher [2003. Identification in nonseparable models. Econometrica 71, 1405–
1441.] are investigated. A class of weighted average derivative estimators based directly ...
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Tail behavior of regression estimators and their breakdown points

[PDF] from lse.ac.uk
X He, J Jurečková, R Koenker… - Econometrica: Journal of the …, 1990 - JSTOR
Following Jurečková (1981) we introduce a finite-sample measure of performance of
regression estimators based on tail behavior. The least squares estimator is studied in
detail, and we find that it achieves good tail performance under strictly Gaussian ...
Cited by 71 - Related articles - Get it from MIT Libraries - All 7 versions

Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics

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R Koenker - Journal of Econometrics, 2000 - Elsevier
The work of three leading figures in the early history of econometrics is used to motivate
some recent developments in the theory and application of quantile regression. We stress
not only the robustness advantages of this form of semiparametric statistical method, but ...
Cited by 69 - Related articles - All 11 versions

Quantile regression methods for reference growth charts

[PDF] from dsu.dp.ua
Y Wei, A Pere, R Koenker… - Statistics in Medicine, 2006 - Wiley Online Library
Abstract Estimation of reference growth curves for children's height and weight has
traditionally relied on normal theory to construct families of quantile curves based on
samples from the reference population. Age-specific parametric transformation has been ...
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GMM inference when the number of moment conditions is large

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R Koenker… - Journal of Econometrics, 1999 - Elsevier
Asymptotic theory typically presumes that the dimensionality of econometric models is
independent of the sample size even though this presumption is often quite unrealistic. In
GMM estimation, whenever optimal instruments are not available, it can frequently be ...
Cited by 62 - Related articles - Library Search - All 11 versions

M estimation of multivariate regressions

R Koenker… - Journal of the American Statistical Association, 1990 - JSTOR
Robust alternatives to the seemingly unrelated regression (SUR) estimator of Zellner (1962)
are proposed for the classical multivariate regression model. These weighted M estimators
achieve an asymptotic covariance matrix analogous to that of the SUR estimator. ...
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Robust rank tests of the unit root hypothesis

[PS] from uiuc.edu
MN Hasan… - Econometrica: Journal of the Econometric …, 1997 - JSTOR
Page 1. Econometrica, Vol. 65, No. 1 (January, 1997), 133-161 ROBUST RANK
TESTS OF THE UNIT ROOT HYPOTHESIS BY MN HAsAN AND RW KOENKER1
We consider a family of rank tests based on the regression rank ...
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[PDF] Unit root quantile autoregression inference

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R Koenker… - Journal of the American Statistical Association, 2004 - ASA
We study statistical inference in quantile autoregression models when the largest
autoregressive coefficient may be unity. The limiting distribution of a quantile autoregression
estimator and its t-statistic is derived. The asymptotic distribution is not the conventional ...
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The economics of persistence: Graduation rates of athletes as labor market choice

L DeBrock, W Hendricks… - Journal of Human Resources, 1996 - JSTOR
In this paper we analyze data for each Division I National Collegiate Athletic Association
(NCAA) school on academic characteristics, athletic characteristics, and graduation rates.
Three groups of athletes are studied: male football players, male basketball players, and ...
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AN EMPIRICAL NOTE ON THE ELASTICITY OF SUBSTITUTION BETWEEN LAND AND CAPITAL IN A MONOCENTRIC HOUSING MARKET*

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R Koenker - Journal of Regional Science, 1972 - Wiley Online Library
Koenker, R.(1972), AN EMPIRICAL NOTE ON THE ELASTICITY OF SUBSTITUTION
BETWEEN LAND AND CAPITAL IN A MONOCENTRIC HOUSING MARKET. Journal of
Regional Science, 12: 299–305. doi: 10.1111/j. 1467-9787.1972. tb00351. x
Cited by 46 - Related articles

Pessimistic portfolio allocation and Choquet expected utility

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GW Bassett Jr, R Koenker… - Journal of financial …, 2004 - Oxford Univ Press
Abstract Recent developments in the theory of choice under uncertainty and risk yield a
pessimistic decision theory that replaces the classical expected utility criterion with a
Choquet expectation that accentuates the likelihood of the least favorable outcomes. A ...
Cited by 49 - Related articles - BL Direct - All 31 versions

Uncertainty, hiring and subsequent performance: The NFL draft

[PDF] from psu.edu
W Hendricks, L DeBrock… - 2001 - papers.ssrn.com
Abstract: In this paper we analyze the impact of uncertainty on the hiring process. We show
the connection between models of statistical discrimination in which uncertainty can work
against groups who have less reliable indicators of future productivity and models of ...
Cited by 41 - Related articles - BL Direct - All 18 versions

Optimal scale and the size distribution of American trucking firms

[PDF] from bath.ac.uk
R Koenker - Journal of Transport Economics and Policy, 1977 - JSTOR
The author's survey leads him to conclude that the average cost curve declines sharply to an
output level of about 6.8 million ton-miles per annum, and rises gradually beyond that. The
trucking industry is dominated by firms above that size as a result of the policy of the US ...
Cited by 37 - Related articles - Get it from MIT Libraries - All 2 versions

Pay and Performance The Impact of Salary Distribution on Firm-Level Outcomes in Baseball

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L DeBrock, W Hendricks… - Journal of Sports …, 2004 - jse.sagepub.com
Abstract When we control for worker characteristics, we are able to directly test theories of
efficiency wages and fairness. We find that high-quality workers continue to be associated
with good outcomes. High-wage strategies are also associated with better won-lost ...
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[CITATION] Nonparametric estimation of conditional quantile functions

R Koenker, S Portnoy… - L1 L, 1992
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L-estimatton for linear heteroscedastic models

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R Koenker… - Journaltitle of Nonparametric Statistics, 1994 - Taylor & Francis
L-estimators based on a weighted regression quantile process are considered for a class of
linearly heteroscedastic regression models. It is shown that the resulting estimators are
“efficient” in the sense introduced by Gutenbrunner (1992).
Cited by 32 - Related articles - All 4 versions

[CITATION] Residential demand for electricity: an econometric approach

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W Hendricks, R Koenker… - Journal of Econometrics, 1979 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
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Inequality constrained quantile regression

[PDF] from isical.ac.in
R Koenker… - Sankhyā: The Indian Journal of Statistics, 2005 - JSTOR
An algorithm for computing parametric linear quantile regression estimates subject to linear
inequality constraints is described. The algorithm is a variant of the interior point algorithm
described in Koenker and Portnoy (1997) for unconstrained quantile regression and is ...
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[PDF] Quantile Regressiony

[PDF] from uiuc.edu
R Koenker… - 1999 - ysidro.econ.uiuc.edu
Francis Galton in a famous passage defending the charms of statistics" against its many
detractors, chided his statistical colleagues who limited their inquiries to Averages, and do
not seem to revel in more comprehensive views. Their souls seem as dull to the charm of ...
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Strong consistency of regression quantiles and related empirical processes

GW Bassett… - Econometric Theory, 1986 - JSTOR
Page 1. Econometric Theory, 2, 1986, 191-201. Printed in the United States of America. STRONG
CONSISTENCY OF REGRESSION QUANTILES AND RELATED EMPIRICAL PROCESSES
GILBERT W. BASSETT University of Illinois at Chicago ROGER W. KOENKER ...
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[BOOK] Economic applications of quantile regression

B Fitzenberger, R Koenker… - 2002 - books.google.com
Quantile regression has emerged as an essential statistical tool of contemporary empirical
economics and biostatistics. Complementing classical least squares regression methods
which are designed to estimate conditional mean models, quantile regression provides an ...
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Was Bread Giffen? The Demand for Food in England Circa 1790

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R Koenker - The Review of Economics and Statistics, 1977 - JSTOR
Two seminal budget studies by David Davies (1795) and Frederick Eden (1797) are
employed below to investigate the place of bread in the diets of English rural laborers at the
end of the eighteenth century.'Because of the considerable geographic and temporal ...
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Momentary lapses: moment expansions and the robustness of minimum distance estimation

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R Koenker, JAF Machado, CL Skeels… - Econometric …, 1994 - Cambridge Univ Press
Abstract This paper explores the robustness of minimum distance (GMM) estimators
focusing particularly on the effect of intermediate covariance matrix estimation on final
estimator performance. Asymptotic expansions to order O p (n− 3/2) are employed to ...
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Asymptotic theory and econometric practice

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R Koenker - Journal of Applied Econometrics, 1988 - Wiley Online Library
Abstract The classical paradigm of asymptotic theory employed in econometrics presumes
that model dimensionality, p, is fixed as sample size, n, tends to inifinity. Is this a plausible
meta-model of econometric model building? To investigate this question empirically, ...
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Costs and benefits of peak-load pricing of electricity* 1:: A continuous-time econometric approach

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AR Gallant… - Journal of Econometrics, 1984 - Elsevier
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[CITATION] Quantile regression

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K Hallock… - Journal of Economic Perspectives, 2001
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[CITATION] Optimal peak load pricing with time-additive consumer preferences

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R Koenker - Journal of Econometrics, 1979 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks. Optimal
peak load pricing with time-additive consumer preferences. Roger Koenker. Journal of
Econometrics, 1979, vol. 9, issue 1-2, pages 175-192. Date: 1979 Track citations by RSS feed. ...
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On reproducible econometric research

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R Koenker… - Journal of Applied Econometrics, 2009 - Wiley Online Library
Recent software developments are reviewed from the vantage point of reproducible
econometric research. We argue that the emergence of new tools, particularly in the open-
source community, have greatly eased the burden of documenting and archiving both ...
Cited by 18 - Related articles - All 17 versions

[PDF] Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models

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Z Xiao… - Journal of the American Statistical Association, 2009 - ASA
Conditional quantile estimation is an essential ingredient in modern risk management.
Although generalized autoregressive conditional heteroscedasticity (GARCH) processes
have proven highly successful in modeling financial data, it is generally recognized that it ...
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[PS] Rank tests for linear models

[PS] from uiuc.edu
R Koenker - Handbook of Statistics. Elsevier Science, New York, 1997 - econ.uiuc.edu
Milton Friedman, who was present at the conception of rank tests in the late 1930's, but abandoned
his progeny for more lucrative economic pursuits later in his career, left the idea of statistical
inference based on ranks in the foster- care of a fortuitous sequence of statisticians who ...
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[CITATION] Demand for electricity by time-of-day: An evaluation of experimental results

W Hendricks… - Issues in Public-Utility Pricing and Regulation, MA …, 1978
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Parametric links for binary choice models: A Fisherian-Bayesian colloquy

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R Koenker… - Journal of Econometrics, 2009 - Elsevier
The familiar logit and probit models provide convenient settings for many binary response
applications, but a larger class of link functions may be occasionally desirable. Two
parametric families of link functions are investigated: the Gosset link based on the Student ...
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On Boscovich's estimator

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R Koenker… - The Annals of Statistics, 1985 - projecteuclid.org
Abstract Boscovich's (1757) proposal to estimate the parameters of a linear model by
minimizing the sum of absolute deviations subject to the constraint that the mean residual be
zero is considered. The asymptotic theory of the estimator confirms a remark of Edgeworth ...
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[CITATION] Rank tests for linear models

RW Koenker… - 1996 - University of Illinois at Urbana- …
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[CITATION] Quantile regression software

R Koenker - 1995
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[CITATION] Quantile Regression, Volume 38 of Econometric Society Monographs

R Koenker - 2005 - Cambridge: Cambridge University …
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[PDF] Reproducible econometric research

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R Koenker… - 1996 - faculty.agecon.vt.edu
SUMMARY Recent software developments are reviewed from the vantage point of
reproducible econometric research. We argue that the emergence of new tools, particularly
in the open-source community, have greatly eased the burden of documenting and ...
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Consumption patterns for electricity

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W Hendricks, R Koenker… - Journal of Econometrics, 1977 - Elsevier
Abstract A substantial body of literature in economics has focused on appropriate pricing
under conditions in which demand varies through time and the product supplied cannot be
stored. However, only limited attention has been paid to modeling or estimating consumer ...
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[CITATION] Panel Data

R Koenker - 2001 - Lecture
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Stochastic Parameter Models for Panel Data: An Application to the Connecticut Peak Load Pricing Experiment

W Hendricks, R Koenker… - International Economic Review, 1979 - JSTOR
The problem of pricing nonstorable goods with cylical demand has been the subject of
intensive recent study and public debate. As a consequence, the focus of empirical research
on the demand for commodities such as electricity has shifted from explaining the integral ...
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[CITATION] Inference on the quantile regression process: Appendices

R Koenker… - Working Paper, 2001 - University of Illinois at Urbana- …
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Copula‐based nonlinear quantile autoregression

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X Chen, R Koenker… - The Econometrics Journal, 2009 - Wiley Online Library
Summary Parametric copulas are shown to be attractive devices for specifying quantile
autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-
based time series models offers some salient advantages over classical global parametric ...
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Reproducible Econometric Research. A Critical Review of the State of the Art.

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R Koenker… - 2007 - epub.wu.ac.at
Recent software developments are reviewed from the vantage point of reproducible
econometric research. We argue that the emergence of new tools, particularly in the open-
source community, have greatly eased the burden of documenting and archiving both ...
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[CITATION] Short course on quantile regression

R Koenker - CEMMAP Master Class: Quantile Regression February, 2003
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[CITATION] Quantile regression: an introduction

KF hALLOCK… - Journal of Economic Perspec, 2000
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[PDF] Parametric Links for Binary Response

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R Koenker - The Newsletter of the R Project Volume 6/4, October …, 2006 - cran.cc.uoc.gr
It is a textbook cliché that probit and logit link functions for binary response models are “very
similar.” While true, this remark is unfortunately often extrapolated to imply that all links are
essentially equivalent. Like most extrapolations, this inferential leap is dangerous. Some ...
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[CITATION] Nonuniform pricing structures in electricity: illustrative examples.'

RW Koenker… - Bell Laboratories Economic Discussion Paper, 1978
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Testing Stationarity Using M-Estimation

R Koenker… - Econometric theory and practice: frontiers of …, 2006 - books.google.com
There is a large body of literature in time series econometrics on the debate over whether
economic time series are best characterized as trend stationary processes or difference
stationary processes. Since the influential article by Nelson and Plosser (1982), hundreds ...
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Amemiya's form of the weighted least squares estimator

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R Koenker, JAF Machado… - Australian Journal of …, 1993 - Wiley Online Library
Summary Amemiya's estimator is a weighted least squares estimator of the regression
coefficients in a linear model with heteroscedastic errors. It is attractive because the
heteroscedasticity is not parametrized and the weights (which depend on the error ...
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When Are Expectiles Percentiles?

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R Koenker - Econometric Theory, 1992 - Cambridge Univ Press
The expectiles replace p= 1 with p= 25 so-the ath expectile Is e (a) s argmin/? a> 2 (6) so the
usual expectation of a random, variable Y with dfF is simply e (\), just as the median is q (\).
Recently Efron [3] has argued that regression versions of the expectiles provide a useful ...
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[CITATION] Nonuniform Pricing Structures in Electricity

RW Koenker… - Chapter, 1979
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[CITATION] Quantile regression: an introduction.[Long version.]

R Koenker… - Typescript, University of Illinois at Urbana-Champaign, 2000
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[CITATION] Inference on the Regression Quantile

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R Koenker… - Econometrica, 2002
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The Falstaff estimator

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R Koenker… - Economics Letters, 1998 - Elsevier
Throughout, we will assume that the error sequence {u i } is independent and identically distributed
with common distribution function F. Under plausible conditions on F we find an unbiased
estimator, , of β with strictly smaller covariance matrix than the classical Gauss-Markov ...
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[CITATION] quantreg: Quantile Regression, v4. 45

R Koenker - 2010
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[PDF] March Madness, Quantile Regression Bracketology, and the Hayek Hypothesis

[PDF] from amstat.org
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R Koenker… - Journal of Business and Economic Statistics, 2010 - ASA
A quantile regression variant of the classical paired comparison model of mean ratings is
proposed. The model is estimated using data for the regular 2004–2005 US college
basketball season, and evaluated based on predictive performance for the 2005 National ...
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[CITATION] Quantile Regression Smoothing

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R Koenker, P Ng… - Biometrika, 1994
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[BOOK] Galton, Edgeworth, Frisch, and Prospects for Quantile Regression in Econometrics

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RW Koenker… - 1998 - lib.dsu.dp.ua
Page 1. GALTON, EDGEWORTH, FRISCH, AND PROSPECTS FOR QUANTILE
REGRESSION IN ECONOMETRICS ROGER KOENKER Abstract. The work of three ...
location shift E Y jX = x = x 0 Page 3. Roger Koenker 3 while the ...
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[CITATION] The estimation of input demand functions and the relative economic efficiency of regulated trucking firms

RW Koenker - 1974 - trid.trb.org
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[CITATION] Generalized Sample Quantile Estimators for the Linear Model

G Bassett… - 1974 - College of Commerce and Business …
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Additive models for quantile regression: An analysis of risk factors for malnutrition in india

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R Koenker - Advances in Social Science Research Using R, 2010 - Springer
Models with additive nonparametric effects offer a valuable dimension re- duction device throughout
applied statistics. In this paper we describe some recent developments of additive models for
quantile regression. These meth- ods employ the total variation smoothing penalties ...
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The economics of persistence: Graduation rates of athletes as labor market choice

L DeBrock, W Hendricks… - INTERNATIONAL …, 2001 - en.scientificcommons.org
Abstract The issue of compatibility of athletics and academics has led to much concern over
the observed disparity in graduation rates of scholarship athletes across institutions. It is
ironic that no one mentions that graduation rates for nonathletes also vary dramatically ...
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When Are Expectiles Percentiles?

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R Koenker - Econometric Theory, 1993 - Cambridge Univ Press
... Roger Koenker. How to Cite This Article; Link to This Abstract; Blog This Article. ... Roger Koenker
(1993) Econometric Theory, Volume 9, Issue 03, June 1993 pp 526-527 http://journals.
cambridge.org/abstract_S0266466600007921. Roger Koenker (1993). ...
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[PDF] On Distributional vs. Quantile Regression

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R Koenker - 2010 - econ.uiuc.edu
Recent work by Firpo, Fortin, and Lemieux (2010) and Chernozhukov, Fernández-Val, and
Melly (2010) has suggested that estimating families of binary response models using
varying “cutoffs” to construct the binary response may provide an attractive alternative to ...
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[CITATION] Hierarchical spline models for conditional quantiles and the demand for electricity/BEBR No. 1661

[PDF] from illinois.edu
WE Hendricks… - 1990 - ideals.illinois.edu
ABSTRACT Methods for estimating nonparametric models for conditional quantiles are
suggested based on the regression quantile methods of Koenker and Bassett (1978). Spline
parametrizations of the conditional quantile functions are used. The methods are ...
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Bootstrapping Quantile Regression

R Koenker - svitsrv25.epfl.ch
bsmethod The method to be employed. There are (as yet) four options: method=" xy" uses
the xy-pair method, and method=" pwy" uses the method of Parzen, Wei and Ying (1994)
method=" mcmb" uses the Markov chain marginal bootstrap of He and Hu (2002) and ...
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[CITATION] A note on Amemiya's form of the weighted least squares estimator/1691

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R Koenker… - 1990 - ideals.illinois.edu
ABSTRACT Amemiya's estimator is a weighted least squares estimator of the regression
coefficients in a linear model with heteroskedastic errors. It is attractive because the
heteroscedasticity is not parameterised and the weights (which depend on the error ...
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[PDF] Shape Constraints, Compound Decisions and Empirical Bayes Rules

[PDF] from uiuc.edu
R Koenker… - ysidro.econ.uiuc.edu
Abstract. A shape constrained maximum likelihood variant of the kernel based empirical
Bayes rule proposed by Brown and Greenshtein (2009) for the classical Gaussian
compound decision problem is described and some simulation comparisons are ...
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[CITATION] A Note on Computing Dual Regression Quantiles and Regression Rank Scores Remark on Algorithm 229

R Koenker, V D'Orey… - 1990 - College of Commerce and Business …
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[CITATION] A note on computing dual regression quantiles and regression rank scores remark on Algorithm 229/BEBR No. 1666

[PDF] from illinois.edu
R Koenker… - 1990 - ideals.illinois.edu
ABSTRACT A slight modification of Algorithm 229 is described to compute the dual
regression quantile statistics which are essential to the construction of the regression rank
score statistics introduced by Jureckova and Gutenbrunner [1]. The latter statistics appear ...
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[PDF] University of Illinois at Urbana-Champaign Quantile regression is a statistical technique intended to estimate, and conduct inference about, conditional quantile …

[PDF] from oxford-mphil.com
R Koenker - oxford-mphil.com
Quantile regression has been used in a broad range of application settings. Reference
growth curves for childrens' height and weight have a long history in pediatric medicine;
quantile regression methods may be used to estimate upper and lower quantile reference ...
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[CITATION] Asymptotic theory and econometric practice/1426

[PDF] from illinois.edu
R Koenker - 1988 - ideals.illinois.edu
ABSTRACT The classical paradigm of asymptotic theory employed in econometrics
presumes that model dimensionality, p, is fixed as sample size, n, tends to infinity. Is this a
plausible meta-model of econometric model building? To investigate this question ...
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[CITATION] Quantile Regression Models for Global Temperature Change

RW Koenker, F Schorfheide… - 1993 - University of Illinois at Urbana- …
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[CITATION] Department of Economics University of Illinois, Urbana-Champaign Champaign, IL 61820 USA

Q Regression…
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[PDF] ADDITIVE MODELS FOR QUANTILE REGRESSION: SOME NEW METHODS FOR R

[PDF] from mit.edu
R Koenker - stuff.mit.edu
Models with additive nonparametric effects offer a valuable dimension reduction device throughout
applied statistics. In this paper we describe some recent developments of addi- tive models for
quantile regression. These methods employ the total variation smoothing penalties ...
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[CITATION] M-estimation of multivariate regressions/1643

[PDF] from illinois.edu
R Koenker… - ideals.illinois.edu
ABSTRACT Robust alternatives to the seemingly unrelated regression (SUR) estimator of
Zellner (1962) are proposed for the classicalmultivariate regression model. These weighted
M-estimators achieve an asymptotic covariance matrix analogous to that of the SUR ...
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[HTML] DISCUSSANT'S COMMENTS

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R Koenker - Motor carrier economic regulation: proceedings of a …, 1978 - books.google.com
Since it has become so popular to accuse economists of disagreeing on practically
everything, I find it extremely encouraging that today's papers represent what appears to be
an emerging concensus on an issue of fundamental transport policy significance—the ...
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Strong consistency of regression quantiles and related empirical processes/1086

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GW Bassett, RW Koenker, KR Kumar, H Thomas… - 1984 - ideals.illinois.edu
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[PDF] Conditional Quantile Estimation for GARCH Models (Preliminary)

[PDF] from ku.edu
Z Xiao… - 2008 - economics.ku.edu
Abstract Conditional quantile is an essential ingredient in various risk measures, and the
GARCH process has proven to be highly successful in modelling financial data. In this
paper, we study estimation of conditional quantiles for GARCH Models using quantile ...
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Likelihood Ratio and Goodness of Fit Processes for Quantile Regression

R Koenker… - 1998 - papers.ssrn.com
Abstract: We consider several variants of a likelihood-ratio process for quantile regression
designed to test composite hypotheses about the combined influence of several covariates
over an entire range of conditional quantile functions. A closely related process is ...

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