Sheep in Wolf’s clothing: Using the least squares criterion for quantile estimation

Heng Chen

Economics Letters, 2014, vol. 125, issue 3, 426-431

Abstract: This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. The quantile coupling allows one to apply the standard Gaussian-based estimation and inference to the transformed data set. The resulting estimator is asymptotically normal with a parametric convergence rate. This method is faster than the conventional check function approach, when handling a sizable data set.

Keywords: Quantile coupling; Quantile model; Least squares estimation (search for similar items in EconPapers)
JEL-codes: C13 C14 C21 (search for similar items in EconPapers)
Date: 2014
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Working Paper: Sheep in Wolf’s Clothing: Using the Least Squares Criterion for Quantile Estimation (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:3:p:426-431

DOI: 10.1016/j.econlet.2014.09.035

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