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Quantile Regression
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| Organization: | Institute for Employment Research (IAB) |
| Department: | Department of Regional Economics |
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2004-05-17
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The package provides a simple implementation of quantile regression (a straightforward extension of median regression) as proposed by Koenker and Basset (1987).
The implementation is very simple, i.e. does not includes sophisticated input checking or detailed error messages. Only some basic input errors are handled.
25 May 2004 -- This notebook was updated by the author to use the DualLinearProgramming function, for significant speed gains.
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quantile regression, median regresssion, robust estimation
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| QuantileRegression.m (4.5 KB) - Mathematica Package [for Mathematica 5.0] | | QuantileRegressionDemo.nb (50.3 KB) - Mathematica Notebook [for Mathematica 5.0] |
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