An Empirical Quantile Function for Linear Models with iid Errors
作者:
Gilbert Bassett,
Roger Koenker,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1982)
卷期:
Volume 77,
issue 378
页码: 407-415
ISSN:0162-1459
年代: 1982
DOI:10.1080/01621459.1982.10477826
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
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. Comparisons with procedures based on residuals are made. The stackloss data of Brownlee (1965) is reanalyzed to illustrate the technique
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