Composite versus model-averaged quantile regression

D Bloznelis, Gerda Claeskens and Jing Zhou

No 627929, Working Papers of Department of Decision Sciences and Information Management, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven

Abstract: The composite quantile estimator is a robust and efficient alternative to the least-squares estimator in linear models. However, it is computationally demanding when the number of quantiles is large. We consider a model-averaged quantile estimator as a computationally cheaper alternative. We derive its asymptotic properties in high-dimensional linear models and compare its performance to the composite quantile estimator in both low- and high-dimensional settings. We also assess the effect on efficiency of using equal weights, theoretically optimal weights, and estimated optimal weights for combining the different quantiles. None of the estimators dominates in all settings under consideration, thus leaving room for both model-averaged and composite estimators, both with equal and estimated optimal weights in practice.

Keywords: Quantile regression; Model averaging; Composite estimation; Penalized estimation; Weight choice (search for similar items in EconPapers)
Pages: 25
Date: 2018-10
New Economics Papers: this item is included in nep-ecm and nep-ore
Note: paper number KBI_1811
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Published in FEB Research Report KBI_1811

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Persistent link: https://EconPapers.repec.org/RePEc:ete:kbiper:627929

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