Quantile Regression: A Robust Alternative to Least Squares

  • Lester D. Taylor


As is usual in applied econometric exercises of the present type, the workhorse of the analyses is least-squares estimation, which is so well-known that it and its properties need no discussion. However, in the course of estimating Engel and demand functions from the BLS-CES surveys, a rather surprising phenomenon has steadily revealed itself, namely, a marked tendency toward asymmetry in the distribution of residuals. The graph in Fig. 3.1 is typical. Quite clearly, the distribution is not symmetrical, but rather is left-skewed (i.e., has a longer tail on the left than on the right) and has peak density well to the right of its OLS mean of 0.


Linear Programming Problem Quantile Regression Pareto Distribution Lower Tail Asymptotic Covariance Matrix 
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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of ArizonaTucsonUSA

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