Fused LASSO as Non-crossing Quantile Regression

Tibor Szendrei, Arnab Bhattacharjee and Mark Schaffer ()

No 17149, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: Quantile crossing has been a challenge for quantile regression, leading to research in how to obtain monotonically increasing quantile estimates. While important contributions, these papers do not provide insight into how enforcing monotonicity influences the estimated coefficients. This paper fills this gap and shows that non-crossing constraints are a type of fused-shrinkage. The proposed estimator has good fit and (fused) variable selection properties: it can reliably identify quantile varying parameters. We investigate the 'heat-or-eat' dilemma and show that prepayment has a non-linear impact on households' consumption choices. In a growth-at-risk application the estimator has the best forecast performance.

Keywords: fused-shrinkage; quantile regression; non-crossing constraints; LASSO (search for similar items in EconPapers)
JEL-codes: C21 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2024-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://docs.iza.org/dp17149.pdf (application/pdf)

Related works:
Working Paper: Fused LASSO as Non-Crossing Quantile Regression (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iza:izadps:dp17149

Ordering information: This working paper can be ordered from
IZA, Margard Ody, P.O. Box 7240, D-53072 Bonn, Germany

Access Statistics for this paper

More papers in IZA Discussion Papers from Institute of Labor Economics (IZA) IZA, P.O. Box 7240, D-53072 Bonn, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Holger Hinte ().