Pinball boosting of regression quantiles
Author
Abstract
Suggested Citation
DOI: 10.1016/j.csda.2024.108027
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
- Ivar Ekeland & James J. Heckman & Lars Nesheim, 2004.
"Identification and Estimation of Hedonic Models,"
Journal of Political Economy, University of Chicago Press, vol. 112(S1), pages 60-109, February.
- Ivar Ekeland & James Heckman & Lars Nesheim, 2002. "Identification and estimation of hedonic models," CeMMAP working papers CWP07/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ekeland, Ivar & Heckman, James J. & Nesheim, Lars, 2003. "Identification and Estimation of Hedonic Models," IZA Discussion Papers 853, Institute of Labor Economics (IZA).
- Ivar Ekeland & James Heckman & Lars Nesheim, 2002. "Identification and estimation of hedonic models," CeMMAP working papers 07/02, Institute for Fiscal Studies.
- Ivar Ekeland & James J. Heckman & Lars P. Nesheim, 2003. "Identification and Estimation of Hedonic Models," NBER Working Papers 9910, National Bureau of Economic Research, Inc.
- Ivar Ekeland & James J. Heckman & Lars Nesheim, 2003. "Identification and Estimation of Hedonic Models," CESifo Working Paper Series 1031, CESifo.
- Sheppard, Stephen, 1999.
"Hedonic analysis of housing markets,"
Handbook of Regional and Urban Economics, in: P. C. Cheshire & E. S. Mills (ed.), Handbook of Regional and Urban Economics, edition 1, volume 3, chapter 41, pages 1595-1635,
Elsevier.
- Stephen Sheppard, 1998. "Hedonic Analysis of Housing Markets," Urban/Regional 9805001, University Library of Munich, Germany.
- Koenker,Roger, 2005.
"Quantile Regression,"
Cambridge Books,
Cambridge University Press, number 9780521845731, November.
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275, January.
- Fritsch, Markus & Haupt, Harry & Ng, Pin T., 2016. "Urban house price surfaces near a World Heritage Site: Modeling conditional price and spatial heterogeneity," Regional Science and Urban Economics, Elsevier, vol. 60(C), pages 260-275.
- repec:dau:papers:123456789/6486 is not listed on IDEAS
- Benjamin Hofner & Andreas Mayr & Nikolay Robinzonov & Matthias Schmid, 2014. "Model-based boosting in R: a hands-on tutorial using the R package mboost," Computational Statistics, Springer, vol. 29(1), pages 3-35, February.
- Cai, Zongwu & Xu, Xiaoping, 2009.
"Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 371-383.
- Cai, Zongwu & Xu, Xiaoping, 2008. "Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1595-1608.
- Xiaoping Xu & Zongwu Cai, 2013. "Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Machado, José A.F., 1993. "Robust Model Selection and M-Estimation," Econometric Theory, Cambridge University Press, vol. 9(3), pages 478-493, June.
- Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
- Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283.
- Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
- Roger Koenker, 2017. "Quantile Regression: 40 Years On," Annual Review of Economics, Annual Reviews, vol. 9(1), pages 155-176, September.
- Thomas Kneib & Torsten Hothorn & Gerhard Tutz, 2009. "Variable Selection and Model Choice in Geoadditive Regression Models," Biometrics, The International Biometric Society, vol. 65(2), pages 626-634, June.
- Anglin, Paul M & Gencay, Ramazan, 1996. "Semiparametric Estimation of a Hedonic Price Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 633-648, Nov.-Dec..
- Matteo Fasiolo & Simon N. Wood & Margaux Zaffran & Raphaël Nedellec & Yannig Goude, 2021. "Fast Calibrated Additive Quantile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(535), pages 1402-1412, July.
- Oberhofer, Walter & Haupt, Harry, 2016. "Asymptotic Theory For Nonlinear Quantile Regression Under Weak Dependence," Econometric Theory, Cambridge University Press, vol. 32(3), pages 686-713, June.
- Fenske, Nora & Kneib, Thomas & Hothorn, Torsten, 2011. "Identifying Risk Factors for Severe Childhood Malnutrition by Boosting Additive Quantile Regression," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 494-510.
- Lutz, Roman Werner & Kalisch, Markus & Buhlmann, Peter, 2008. "Robustified L2 boosting," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3331-3341, March.
- Roger Koenker, 2017. "Quantile regression 40 years on," CeMMAP working papers 36/17, Institute for Fiscal Studies.
- R. A. Rigby & D. M. Stasinopoulos, 2005. "Generalized additive models for location, scale and shape," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 54(3), pages 507-554, June.
- Ju, Xiaomeng & Salibián-Barrera, Matías, 2021. "Robust boosting for regression problems," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
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.- Fritsch, Markus & Haupt, Harry & Ng, Pin T., 2016. "Urban house price surfaces near a World Heritage Site: Modeling conditional price and spatial heterogeneity," Regional Science and Urban Economics, Elsevier, vol. 60(C), pages 260-275.
- Wei, Bo & Tan, Kean Ming & He, Xuming, 2024. "Estimation of complier expected shortfall treatment effects with a binary instrumental variable," Journal of Econometrics, Elsevier, vol. 238(2).
- Benjamin Hofner & Andreas Mayr & Nikolay Robinzonov & Matthias Schmid, 2014. "Model-based boosting in R: a hands-on tutorial using the R package mboost," Computational Statistics, Springer, vol. 29(1), pages 3-35, February.
- Alexander März & Nadja Klein & Thomas Kneib & Oliver Musshoff, 2016.
"Analysing farmland rental rates using Bayesian geoadditive quantile regression,"
European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 43(4), pages 663-698.
- März, Alexander & Klein, Nadja & Kneib, Thomas & Musshoff, Oliver, 2014. "Analysing farmland rental rates using Bayesian geoadditive quantile regression," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182752, European Association of Agricultural Economists.
- März, Alexander & Klein, Nadja & Kneib, Thomas & Mußhoff, Oliver, 2014. "Analysing farmland rental rates using Bayesian geoadditive quantile regression," DARE Discussion Papers 1403, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
- Guillen, Montserrat & Bermúdez, Lluís & Pitarque, Albert, 2021. "Joint generalized quantile and conditional tail expectation regression for insurance risk analysis," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 1-8.
- Chen, Zhao & Cheng, Vivian Xinyi & Liu, Xu, 2024. "Reprint: Hypothesis testing on high dimensional quantile regression," Journal of Econometrics, Elsevier, vol. 239(2).
- Kneib, Thomas & Silbersdorff, Alexander & Säfken, Benjamin, 2023. "Rage Against the Mean – A Review of Distributional Regression Approaches," Econometrics and Statistics, Elsevier, vol. 26(C), pages 99-123.
- Thomas Q. Pedersen, 2015.
"Predictable Return Distributions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, March.
- Thomas Q. Pedersen, 2010. "Predictable return distributions," CREATES Research Papers 2010-38, Department of Economics and Business Economics, Aarhus University.
- Sulkhan Chavleishvili & Simone Manganelli, 2024.
"Forecasting and stress testing with quantile vector autoregression,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
- Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.
- Chen, Le-Yu & Lee, Sokbae, 2023.
"Sparse quantile regression,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 2195-2217.
- Le-Yu Chen & Sokbae Lee, 2020. "Sparse Quantile Regression," Papers 2006.11201, arXiv.org, revised Mar 2023.
- Le-Yu Chen & Sokbae (Simon) Lee, 2020. "Sparse Quantile Regression," CeMMAP working papers CWP30/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ngandu Balekelayi & Solomon Tesfamariam, 2020. "Geoadditive Quantile Regression Model for Sewer Pipes Deterioration Using Boosting Optimization Algorithm," Sustainability, MDPI, vol. 12(20), pages 1-24, October.
- Juan Armando Torres Munguía, 2024. "A model-based boosting approach to risk factors for physical intimate partner violence against women and girls in Mexico," Journal of Computational Social Science, Springer, vol. 7(2), pages 1937-1963, October.
- Zhao, Weihua & Lian, Heng & Song, Xinyuan, 2017. "Composite quantile regression for correlated data," Computational Statistics & Data Analysis, Elsevier, vol. 109(C), pages 15-33.
- Lu, Xun & Su, Liangjun, 2015.
"Jackknife model averaging for quantile regressions,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
- Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
- repec:wyi:journl:002112 is not listed on IDEAS
- Yingying Jiang & Fuming Lin & Yong Zhou, 2021. "The kth power expectile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(1), pages 83-113, February.
- Geraci, Marco, 2019. "Modelling and estimation of nonlinear quantile regression with clustered data," Computational Statistics & Data Analysis, Elsevier, vol. 136(C), pages 30-46.
- Alexander Razen & Wolfgang Brunauer & Nadja Klein & Thomas Kneib & Stefan Lang & Nikolaus Umlauf, 2014. "Statistical Risk Analysis for Real Estate Collateral Valuation using Bayesian Distributional and Quantile Regression," Working Papers 2014-12, Faculty of Economics and Statistics, Universität Innsbruck.
- Lin, Wei & Cai, Zongwu & Li, Zheng & Su, Li, 2015. "Optimal smoothing in nonparametric conditional quantile derivative function estimation," Journal of Econometrics, Elsevier, vol. 188(2), pages 502-513.
- Chen, Zhao & Cheng, Vivian Xinyi & Liu, Xu, 2024. "Hypothesis testing on high dimensional quantile regression," Journal of Econometrics, Elsevier, vol. 238(1).
- Zongwu Cai & Qi Li, 2013. "Some Recent Develop- ments on Nonparametric Econometrics," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
More about this item
Keywords
Quantile regression; Component-wise functional gradient boosting; Regression boosting; L1 loss; Consistent scoring rule;All these keywords.
JEL classification:
- L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance
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:eee:csdana:v:200:y:2024:i:c:s0167947324001117. 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.