Dual Regression

Richard Spady and Sami Stouli

Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK

Abstract: We propose an alternative (‘dual regression’) to the quantile regression process for the global estimation of conditional distribution functions under minimal assumptions. Dual regression provides all the interpretational power of the quantile regression process while largely avoiding the need for ‘rearrangement’ to repair the intersecting conditional quantile surfaces that quantile regression often produces in practice. Our approach relies on a mathematical programming characterization of conditional distribution functions which, in its simplest form, provides a simultaneous estimator of location and scale parameters in a linear heteroscedastic model. The statistical properties of this estimator are derived.

Keywords: Conditional distribution; Stochastic representation; Duality; Convexity; Quantile regression; Heteroscedasticity; Method of moments; Mathematical programming; Monotone approximation. (search for similar items in EconPapers)
Pages: 36 pages.
Date: 2016-01-13
New Economics Papers: this item is included in nep-ecm
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Related works:
Working Paper: Dual regression (2019)
Journal Article: Dual regression (2018)
Working Paper: Dual Regression (2018)
Working Paper: Dual regression (2016)
Working Paper: Dual regression (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:bri:uobdis:16/669

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