A note on estimating the bent line quantile regression model

Yanyang Yan, Feipeng Zhang () and Xiaoying Zhou
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Yanyang Yan: Hunan University
Feipeng Zhang: Hunan University
Xiaoying Zhou: Hunan University

Computational Statistics, 2017, vol. 32, issue 2, No 10, 630 pages

Abstract: Abstract This paper considers a new estimating method for the bent line quantile regression model. By a simple linearization technique, the proposed method can simultaneously obtain the estimates of the regression coefficients and the change-point location. Moreover, it can be readily implemented by current software. Simulation studies demonstrate that the proposed method has good finite sample performance. Two empirical applications are also presented to illustrate the method.

Keywords: Quantile regression; Change-point; Linearization technique (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s00180-017-0711-9

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