Goodness of Fit and Related Inference Processes for Quantile Regression
作者:
Roger Koenker,
JoséA. F. Machado,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1999)
卷期:
Volume 94,
issue 448
页码: 1296-1310
ISSN:0162-1459
年代: 1999
DOI:10.1080/01621459.1999.10473882
出版商: Taylor & Francis Group
关键词: Bessel process;Goodness of fit;Quantile regression;Rank test;Regression rankscores.
数据来源: Taylor
摘要:
We introduce a goodness-of-fit process for quantile regression analogous to the conventionalR2statistic of least squares regression. Several related inference processes designed to test composite hypotheses about the combined effect of several covariates over an entire range of conditional quantile functions are also formulated. The asymptotic behavior of the inference processes is shown to be closely related to earlier p-sample goodness-of-fit theory involving Bessel processes. The approach is illustrated with some hypothetical examples, an application to recent empirical models of international economic growth, and some Monte Carlo evidence.
点击下载:
PDF (1359KB)
返 回