On a generalization of a result of W. G. Cochran

D. R. Cox

Biometrika, 2007, vol. 94, issue 3, 755-759

Abstract: A relationship due to W.G. Cochran showing the effect on least squares regression coefficients of marginalizing over or conditioning on an explanatory variable is generalized to quantile regression coefficients. The condition under which conditioning does not induce interaction or effect reversal is shown. Examples are given. The discussion is simplest when all variables are continuous; the extension to discrete variables is outlined. Copyright 2007, Oxford University Press.

Date: 2007
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