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A sandwich likelihood correction for Bayesian quantile regression based on the misspecified asymmetric Laplace density

Karthik Sriram

Statistics & Probability Letters, 2015, vol. 107, issue C, 18-26

Abstract: A sandwich likelihood correction is proposed to remedy an inferential limitation of the Bayesian quantile regression approach based on the misspecified asymmetric Laplace density, by leveraging the benefits of the approach. Supporting theoretical results and simulations are presented.

Keywords: Bayesian; Asymmetric Laplace; Credible interval; Misspecification (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2015.07.035

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