An empirical likelihood approach to quantile regression with auxiliary information

Cheng Yong Tang and Chenlei Leng

Statistics & Probability Letters, 2012, vol. 82, issue 1, 29-36

Abstract: We consider how to incorporate auxiliary information to improve quantile regression via empirical likelihood. We propose a novel framework and show that our approach yields more efficient estimates compared to those from the conventional quantile regression. The efficiency gain is quantified theoretically and demonstrated empirically via simulation studies.

Keywords: Auxiliary information; Empirical likelihood; Estimating equations; Quantile regression (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:1:p:29-36

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DOI: 10.1016/j.spl.2011.09.003

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