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Regression Quantiles

Roger Koenker and Gilbert Bassett, Jr.
Econometrica
Vol. 46, No. 1 (Jan., 1978), pp. 33-50
Published by: The Econometric Society
DOI: 10.2307/1913643
Stable URL: http://www.jstor.org/stable/1913643
Page Count: 18
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Regression Quantiles
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Abstract

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 is an important special case. Some equivariance properties and the joint asymptotic distribution of regression quantiles are established. These results permit a natural generalization of the linear model of certain well-known robust estimators of location. Estimators are suggested, which have comparable efficiency to least squares for Gaussian linear models while substantially out-performing the least-squares estimator over a wide class of non-Gaussian error distributions.

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