Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression
Author
Abstract
Suggested Citation
DOI: 10.1515/jem-2014-0018
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Manski, Charles F, 1991.
"Regression,"
Journal of Economic Literature, American Economic Association, vol. 29(1), pages 34-50, March.
- Manski, C.F., 1989. "Regression," Working papers 8917, Wisconsin Madison - Social Systems.
- Joshua Angrist & Victor Chernozhukov & Iván Fernández-Val, 2006.
"Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure,"
Econometrica, Econometric Society, vol. 74(2), pages 539-563, March.
- Joshua Angrist & Victor Chernozhukov & Ivan Fernandez-Val, 2004. "Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure," NBER Working Papers 10428, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Hyung-Gun Kim & Kwong-Chin Hung & Sung Park, 2015. "Determinants of Housing Prices in Hong Kong: A Box-Cox Quantile Regression Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 50(2), pages 270-287, February.
- Javier Alejo & Antonio F. Galvao & Julián Martinez-Iriarte & Gabriel Montes-Rojas, 2023.
"Unconditional Quantile Partial Effects via Conditional Quantile Regression,"
Working Papers
217, Red Nacional de Investigadores en Economía (RedNIE).
- Montes Rojas Gabriel & Alejo Javier & Galvao Antonio & Martínez-Iriarte Julián, 2023. "Unconditional Quantile Partial Effects via Conditional Quantile Regression," Asociación Argentina de Economía Política: Working Papers 4674, Asociación Argentina de Economía Política.
- Javier Alejo & Antonio F. Galvao & Julian Martinez-Iriarte & Gabriel Montes-Rojas, 2023. "Unconditional Quantile Partial Effects via Conditional Quantile Regression," Papers 2301.07241, arXiv.org, revised Dec 2023.
- Bernstein, David H. & Parmeter, Christopher F. & Tsionas, Mike G., 2023. "On the performance of the United States nuclear power sector: A Bayesian approach," Energy Economics, Elsevier, vol. 125(C).
- Cheng Cheng & Xiaohang Ren & Zhen Wang & Yukun Shi, 2018. "The Impacts of Non-Fossil Energy, Economic Growth, Energy Consumption, and Oil Price on Carbon Intensity: Evidence from a Panel Quantile Regression Analysis of EU 28," Sustainability, MDPI, vol. 10(11), pages 1-20, November.
- Bajgiran, Amirsaman H. & Mardikoraem, Mahsa & Soofi, Ehsan S., 2021. "Maximum entropy distributions with quantile information," European Journal of Operational Research, Elsevier, vol. 290(1), pages 196-209.
- Alfredo Cartone & Paolo Postiglione, 2016. "Modelli spaziali di regressione quantilica per l?analisi della convergenza economica regionale," RIVISTA DI ECONOMIA E STATISTICA DEL TERRITORIO, FrancoAngeli Editore, vol. 2016(3), pages 28-48.
- Huang, Huafang & Cheng, Xianfu & Wei, Liangli & Liu, Dongping & Deng, Minmin, 2024. "Are natural resources a driving force for financial development or a curse for the economy? Policy insight from Next-11 countries," Resources Policy, Elsevier, vol. 88(C).
- Davidmac O. Ekeocha & Jonathan E. Ogbuabor & Oliver E. Ogbonna & Anthony Orji, 2023. "Economic policy uncertainty, governance institutions and economic performance in Africa: are there regional differences?," Economic Change and Restructuring, Springer, vol. 56(3), pages 1367-1431, June.
- Volkan Han & Oguz Ocal & Alper Aslan, 2023. "A revisit to the relationship between globalization and income inequality: are levels of development really paramount?," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(1), pages 973-990, February.
- Chen, Hongrui, 2023. "Energy innovations, natural resource abundance, urbanization, and environmental sustainability in the post-covid era. Does environmental regulation matter?," Resources Policy, Elsevier, vol. 85(PB).
- Gyamfi, Bright Akwasi & Bein, Murad A. & Udemba, Edmund Ntom & Bekun, Festus Victor, 2021. "Investigating the pollution haven hypothesis in oil and non-oil sub-Saharan Africa countries: Evidence from quantile regression technique," Resources Policy, Elsevier, vol. 73(C).
- Yuxiao Jiang & Xinyu Han & Ning Qiu & Mengbing Du & Liang Zhao, 2023. "Identifying Urban–Rural Disparities and Associated Factors in the Prevalence of Disabilities in Tianjin, China," Land, MDPI, vol. 12(8), pages 1-20, July.
- Melike E. Bildirici & Rui Alexandre Castanho & Fazıl Kayıkçı & Sema Yılmaz Genç, 2022. "ICT, Energy Intensity, and CO 2 Emission Nexus," Energies, MDPI, vol. 15(13), pages 1-15, June.
- Xu, Bin & Lin, Boqiang, 2016. "A quantile regression analysis of China's provincial CO2 emissions: Where does the difference lie?," Energy Policy, Elsevier, vol. 98(C), pages 328-342.
- de Castro, Luciano & Galvao, Antonio F. & Montes-Rojas, Gabriel, 2020. "Quantile selection in non-linear GMM quantile models," Economics Letters, Elsevier, vol. 195(C).
- Ellen Thio & MeiXuen Tan & Liang Li & Muhammad Salman & Xingle Long & Huaping Sun & Bangzhu Zhu, 2022. "The estimation of influencing factors for carbon emissions based on EKC hypothesis and STIRPAT model: Evidence from top 10 countries," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 24(9), pages 11226-11259, September.
- Ren, Xiaohang & Lu, Zudi & Cheng, Cheng & Shi, Yukun & Shen, Jian, 2019. "On dynamic linkages of the state natural gas markets in the USA: Evidence from an empirical spatio-temporal network quantile analysis," Energy Economics, Elsevier, vol. 80(C), pages 234-252.
- Tooba Pervaiz Banday & Ekrem Erdem, 2024. "ICT and declining labor productivity in OECD," SN Business & Economics, Springer, vol. 4(3), pages 1-19, March.
- Zhilun Jiao & Ningning Yu & Xiaofan Wu, 2024. "Disentangling the Intelligentization–Carbon Emission Nexus within China’s Logistics Sector: An Econometric Approach," Energies, MDPI, vol. 17(16), pages 1-21, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Anil K. Bera & Antonio F. Galvao Jr. & Gabriel V. Montes-Rojas & Sung Y. Park, 2014.
"Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression,"
World Scientific Book Chapters, in: Kaddour Hadri & William Mikhail (ed.), Econometric Methods and Their Applications in Finance, Macro and Related Fields, chapter 7, pages 167-199,
World Scientific Publishing Co. Pte. Ltd..
- Bera, A. K. & Galvao Jr, A. F. & Montes-Rojas, G. & Park, S. Y., 2010. "Which quantile is the most informative? Maximum likelihood, maximum entropy and quantile regression," Working Papers 10/08, Department of Economics, City University London.
- Kemp, Gordon C.R. & Santos Silva, J.M.C., 2012.
"Regression towards the mode,"
Journal of Econometrics, Elsevier, vol. 170(1), pages 92-101.
- Kemp, GCR & Santos Silva, JMC, 2010. "Regression towards the mode," Economics Discussion Papers 5757, University of Essex, Department of Economics.
- Kato, Kengo & F. Galvao, Antonio & Montes-Rojas, Gabriel V., 2012. "Asymptotics for panel quantile regression models with individual effects," Journal of Econometrics, Elsevier, vol. 170(1), pages 76-91.
- repec:hal:wpspec:info:hdl:2441/5rkqqmvrn4tl22s9mc4b6ga2g is not listed on IDEAS
- Natalya Presman & Tanya Suhoy, 2024. "How have government housing programs affected developers' bids in Israel Land Authority land tenders?," Bank of Israel Working Papers 2024.08, Bank of Israel.
- Victor Chernozhukov & Iván Fernández‐Val & Blaise Melly, 2013.
"Inference on Counterfactual Distributions,"
Econometrica, Econometric Society, vol. 81(6), pages 2205-2268, November.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2008. "Inference On Counterfactual Distributions," Boston University - Department of Economics - Working Papers Series wp2008-005, Boston University - Department of Economics.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2012. "Inference on counterfactual distributions," CeMMAP working papers 05/12, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2013. "Inference on counterfactual distributions," CeMMAP working papers 17/13, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2013. "Inference on counterfactual distributions," CeMMAP working papers CWP17/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers CWP09/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on Counterfactual Distributions," Papers 0904.0951, arXiv.org, revised Sep 2013.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers 09/09, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2012. "Inference on counterfactual distributions," CeMMAP working papers CWP05/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Manuel Arellano & Stéphane Bonhomme, 2017.
"Quantile Selection Models With an Application to Understanding Changes in Wage Inequality,"
Econometrica, Econometric Society, vol. 85, pages 1-28, January.
- Manuel Arellano & Stéphane Bonhomme, 2015. "Quantile selection models: with an application to understanding changes in wage inequality," CeMMAP working papers 75/15, Institute for Fiscal Studies.
- Manuel Arellano & Stéphane Bonhomme, 2015. "Quantile selection models: with an application to understanding changes in wage inequality," CeMMAP working papers CWP75/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Manuel Arellano & Stéphane Bonhomme, 2016. "Quantile Selection Models with an Application to Understanding Changes in Wage Inequality," Working Papers wp2016_1610, CEMFI.
- Michal Franta, 2023. "The Application of Multiple-Output Quantile Regression on the US Financial Cycle," Working Papers 2023/2, Czech National Bank.
- Chunbei Wang & Le Wang, 2011. "Language Skills and the Earnings Distribution Among Child Immigrants," Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, vol. 50(2), pages 297-322, April.
- Chesher, Andrew, 2017.
"Understanding the effect of measurement error on quantile regressions,"
Journal of Econometrics, Elsevier, vol. 200(2), pages 223-237.
- Andrew Chesher, 2017. "Understanding the effect of measurement error on quantile regressions," CeMMAP working papers 19/17, Institute for Fiscal Studies.
- Andrew Chesher, 2017. "Understanding the effect of measurement error on quantile regressions," CeMMAP working papers CWP19/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov, 2011. "High Dimensional Sparse Econometric Models: An Introduction," Papers 1106.5242, arXiv.org, revised Sep 2011.
- Ion Zgreaban, Irina, 2013. "Education in Romania - How much is it Worth?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 149-163, March.
- Fong, Wai Mun, 2013. "Footprints in the market: Hedge funds and the carry trade," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 41-59.
- Victor Chernozhukov & Iván Fernández-Val & Blaise Melly & Kaspar Wüthrich, 2020.
"Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(529), pages 123-137, January.
- Victor Chernozhukov & Iv'an Fern'andez-Val & Blaise Melly & Kaspar Wuthrich, 2016. "Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes," Papers 1608.05142, arXiv.org, revised Aug 2018.
- Chernozhukov, Victor & Fernández-Val, Iván & Melly, Blaise & Wüthrich, Kaspar, 2020. "Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes," University of California at San Diego, Economics Working Paper Series qt5zm6m9rq, Department of Economics, UC San Diego.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly & Kaspar Wüthrich, 2017. "Generic inference on quantile and quantile effect functions for discrete outcomes," CeMMAP working papers 23/17, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly & Kaspar Wüthrich, 2017. "Generic inference on quantile and quantile effect functions for discrete outcomes," CeMMAP working papers CWP23/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly & Kaspar Wüthrich, 2016. "Generic inference on quantile and quantile effect functions for discrete outcomes," CeMMAP working papers 35/16, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly & Kaspar Wüthrich, 2016. "Generic inference on quantile and quantile effect functions for discrete outcomes," CeMMAP working papers CWP35/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly & Kaspar W thrich, 2016. "Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes," Diskussionsschriften dp1607, Universitaet Bern, Departement Volkswirtschaft.
- Grimpe, Christoph & Kaiser, Ulrich & Sofka, Wolfgang, 2018. "Innovating for the Better? The Role of Advocacy Group Work Experience for Employee Pay," IZA Discussion Papers 11649, Institute of Labor Economics (IZA).
- Shabbar Jaffry & Yaseen Ghulam & Vyoma Shah, 2007. "Returns to Education in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 46(4), pages 833-852.
- Marilena Furno, 2011. "Goodness of Fit and Misspecification in Quantile Regressions," Journal of Educational and Behavioral Statistics, , vol. 36(1), pages 105-131, February.
- Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015.
"Financial Network Systemic Risk Contributions,"
Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2011. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2011-072, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013. "Financial network systemic risk contributions," CFS Working Paper Series 2013/20, Center for Financial Studies (CFS).
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2012. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2012-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Daniel S. Hamermesh, 1999. "The Art of Labormetrics," NBER Working Papers 6927, National Bureau of Economic Research, Inc.
- WenWu Wang & Ping Yu, 2023. "Nonequivalence of two least-absolute-deviation estimators for mediation effects," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 370-387, March.
- Leonid Kogan & Dimitris Papanikolaou & Lawrence D. W. Schmidt & Jae Song, 2020.
"Technological Innovation and Labor Income Risk,"
NBER Working Papers
26964, National Bureau of Economic Research, Inc.
- Leonid Kogan & Dimitris Papanikolaou & Lawrence D. W. Schmidt & Jae Song, 2020. "Technological Innovation and Labor Income Risk," Working Papers, Center for Retirement Research at Boston College 202010, Center for Retirement Research.
More about this item
Keywords
asymmetric Laplace distribution; quantile regression; treatment effects;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:jecome:v:5:y:2016:i:1:p:79-101:n:8. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.