Abstract
In this chapter, we discuss the goodness of fit in the context of quantile regression. We present the coefficient of determination and its adaptation to the quantile regression context. We illustrate how to calculate this goodness of fit statistic and how to interpret it using data for energy consumption, its determinants and electricity prices.
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Reference
Koenker, R. W., & Machado, J. A. F. (1999). Goodness of fit and related inference processes for quantile regression. Journal of the American Statistical Association, 94(448), 1296–1310.
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Uribe, J., Guillen, M. (2020). Goodness of Fit in Quantile Regression Models. In: Quantile Regression for Cross-Sectional and Time Series Data. SpringerBriefs in Finance. Springer, Cham. https://doi.org/10.1007/978-3-030-44504-1_6
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DOI: https://doi.org/10.1007/978-3-030-44504-1_6
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Publisher Name: Springer, Cham
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Online ISBN: 978-3-030-44504-1
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